Yes, I have also received snail spam from Spain at least once, maybe twice here in Finland. Yes, the address was taken from the phonebook, because my address appers in the phonebook in unique form not used anywhere else.
I have also received a lottery scam by SMS. The number shown was an Irish one, but that has to be taken with caution. If you have access to a short messages center, the sender can be written like the From: header in SMTP. I'd guess the price of a mass SMS could be somewhere around 2 - 4 Euro cents.
(Interesting enough the spam SMS did not come to my postpaid mobile subscription, which is even publicly listed and where I receive all kind of "legal" telemarketing calls. The scam message came to an unregistered and unlisted prepaid number, which I hardly ever use. But I remembered that I had used this number to get one more Google account, after they had made confirmation by phone mandatory. So has Google been hacked or did they sell my number?)
Anyway about "costly" spamming. It's all about probability. Not too many people should respond to email spam/scam these days anymore. But still it must be profitable.
Stamped snail or SMS scam must be much more credible to many people. If the fraction is high enough you end up with profit even if your "marketing" costs are higher. (Actually that shows that the senders were not very professional. There are much cheaper bulk postage rates available even in other European countries, and real stamps are known to be a quality factor by marketing professionals and postal adminstrations alike)
Anyway it seems that the fraction of responders to "high quality" scam was too small for a profit. Otherwise we would have all seen more of the nonsense and it would no longer be fun at the family dinner when such a letter is being opened.