All good points, David is 100% correct. If you can, definitely try to hand the application into the manager. Also, be persistent and almost pushy to try and set up an interview, but stop just short of being annoying. Someone that calls every couple days to follow up on a job is way more likely to get called in for an interview than someone who drops an application at the counter and waits for a call back. You have to show them that you want the job.
I'm in sales and you have to be very persistent and follow up on every job. You can't be the annoying car salesman type that pisses them off, but you have to let them know you want their business and can deliver exactly what they want and make them comfortable with giving you a half million dollar purchase order. Job hunting is very similar. You are selling yourself to them, so to speak...
And save the Mazzios thing for a last resort. It will put a bunch of unneeded wear and tear on your truck and you will never get ahead with paying for gas and maintenance on your truck. Not to mention your cab will reek of pizza for the next 10 years. Not real popular with the ladies, (unless they're big girls who like to eat) NOM NOM NOM.