On the question of Lovecrafts letters it is difficult to give a truly helpful answer. He was know for writing an enormous amount of letters to all sort of people from fellow authors to romance pulps (which he criticized for their quality). Arkham House published an amazing collection of some of his important letters, but there are dozens of books devoted to them. His essays however, are something more manageable and you can find a 5 volume set with each volume devoted to a different subject. They are a little expensive considering their size, but unlike his stories his essays are not exactly public property.
http://www.amazon.com/Collected-Essays-H-P-Lovecraft/dp/097615921X/ref=pd_sim_b_2

looking for, thanks! So these five, plus the one volume set...is already on it’s way