so I could prove they got my ballot

awesome idea! plus it leaves no room for error on postage!

Be careful with this. It may actually delay or even prevent your ballot from being received properly by the county clerk's office.

How?
Should a prospecive voter sit down now and write a letter to the local supervisor of elections office and state that you are concerned about lost mail and ask if it's o.k. to send it by registered mail, not put a phone number on the letter so you get a response in writing?

I'm registered as a mail in voter in Arizona, but what I do is to fill out my paper ballot and hand deliver to the polling station on election day.

I took my ballot directly to the registrar of voters office at the county center, where they have a nice shiny ballot box behind the counter to deposit it in. Had the word "Official" on it and everything!

And of course on Election Day one can take a mail ballot to any polling place during polling hours, at least in Sonoma County, CA where over half the voting is done using early mail -- in my case because "there are too few registered voters in my precinct" to put in a polling place. I believe one has to sign in for that as I did at the county center, but that's all there is to it.

If you can directly deposit early ballots wherever you are, by all means do so.