Lol, I work with FedEX and UPS everyday. I've done it before with the iPhone 4s, and 5s preorders. Since AT&T requires it sent to the billing address, I always reroute it to my Fedex office or UPS hub for pickup so that I can pickup it up when I go to lunch. This year I reserved mine though at the Apple Store though. Maybe it's new this year, i guess, but that would be unusual. Make sure you are talking to a Fedex manager, or try it online.
NOTE: "shipping location" is not the same as a "FedEx Office."