Was just wondering where they actually film it...is it at the BBC studios place?

Studio 1 Television Centre in London.

Thanks for that...so say for example, I wanted to write to one of the celebs, that is where I'd send the letter?!

In the absence of a better address I'd send it to:

[Celeb Name]
c/o Strictly Come Dancing
BBC Television
Wood Lane
London
W12 7RJ

They'll pass it on from there.. but the BBC gets gazillions of letter so it might take a while

Cheers chicken, I'll keep that in mind