Incidentally, when the Consulate brought the FBU officer from Lisbon (actually, their boss from London, but he was speaking for Lisbon) here last month to answer Social Security questions, I asked him about overseas payments, and also about the Form SSA-21, the "Supplement to Claim of Person Outside the United States", which I had never filed, although I did inform SSA when i left the US for good.
He offered to take the form for me -- he was very helpful -- but when I told him that I have my check deposited in a US bank and my mail from Social Security go to my brother's house in the US, he said, "I'd recommend not filing the form: it will just confuse them with two addresses. Your money and your mail are both going where you want them to go, so I think you're fine." FYI