To address mail to yourself put your surname first, in capitals. When you go to collect mail, take your passport as ID; and to be sure, ask them to check under your first name as well as your surname. Here's a list of places along the Camino Francés, with postal codes, 2 or three days apart:
Lista de Correos
31080 Pamplona (Navarra)
31100 Puenta la Reina (Navarra)
26080 Logroño (Navarra)
09080 Burgos
24080 León
24700 Astorga (León)
24400 Ponferrada (León)
27600 Sarria (Lugo)
15780 Santiago de Compostela (A Coruña)
So example:
SMITH, John (Pilgrim)
Lisa de Correos
31080
Pamplona
Navarra
Spain