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It is possible to send pinned flies safely through the mail - if they are properly prepared (that's a whole new thread) and if they are sent using one of the more secure systems. Sending alcohol material in the mail does require special training (at least in Britain and the USA) and the use of selected couriers.
Even taking stuff by hand can have its dangers - I know of one instance when a bag containing storeboxes of pinned ichneumons broke while the entomologist was on a moving escalator. He watched helplessly as the storeboxes tumbled down the steps!
No, it wasn't me! :p)