Yeah, it took me a couple of tries, but I finally got it right. The trick is to use the actual address of the UPS site at which you want to pick it up.
And yeah, that's pretty much the reason I wanted it that way, too. That, and being able to pick it up at my convenience. USPS will also do this, believe it or not, but of course they're not going to make the information easy to find, since they'd rather you rent a box.
The only downside is, it'll only work for UPS. I believe FedEx has the same service, but you would have to verify with them.
UPS link
The alternative is to rent a box at one of those stores, I forget which one, I think it's Mailboxes Etc., which actually let you provide a street address to shipping companies like FedEx and UPS.