How can I let people know where to send the cheque?

You can configure this in the checkout success text for the cheque payment method.  For members who choose to pay by cheque, this text is displayed on the checkout success page, and in the order confirmatinon email.

We suggest you put something like:

Please make the cheque payable to XYZ Organisation  and post it to:

1 Memory Lane

Small Town

County

AB99 9YZ