Option one can work but it's not recommended. The mail system in certain places in Mexico isn't that reliable, especially if you are counting on that check to arrive at a certain time to pay the rent.
Option two would involve you opening a Mexico bank account. It's a good idea to have a Mexico bank account. Whether or not you want your Social Security payment directly deposited in that account will be up to you.
Option three is the simplest and most convenient way to access your Social Security payments. Now with the ease of online banking and ATMs in Mexico, this would be our recommended way to receive your Social Security in Mexico.