Receiving Social Security retirement benefits

You will need to apply for and qualify for SS retirement benefits. You can do this online, or visit a local Social Security office. You will need documentation such as birth certificate, last year's W-2 etc.

Your monthly benefit increases as you delay the receipt of benefits, so no, benefits do not start "the first day of retirement".

Direct deposit of monthly payments into your bank account is preferred to check mailings.

Here are some details :
http://www.ssa.gov/pubs/10035.html#know
http://www.ssa.gov/deposit/