You can have things shipped to yourself at the hotel, it’s actually quite common e.g.

Firstname Lastname (Guest)
Fancy Hotel Name
123 This Street
This City, State, Zip Code

That said it might be helpful to notify the front desk that you plan to receive package(s) during your stay in the case they set up a different procedure for that.

Also be aware sometimes you’ll need to check in with the front desk or receiving department if there are any packages for you - More than a few receiving departments at hotels just don’t do the extra work to notify guests that packages arrived for them… this sometimes results in the guest checking out without ever knowing there was something waiting for them to pick up.