where would you go to collect a war pension in the early 1800's

[charlemagne]

where would you go to collect a war pension in the early 1800's in england

[alexanderd]

did they have war pensions that far back?

[dotty.]

blimey this would need an essay to answer fully, and i have to get to bed.
Until 1871 officers were not entitled to a pension as of right, they either sold their commission or went on half pay, records in paymaster generals records PMG4 1737+
Widows pensions and dependants pensions and pensions to wounded officers in PMG 9 - 11 1814+
Some pension provision for the widoes of none-commissioned officers was made by the bequest of Commanding Officers Wills,
Distribution was often via agents and this created yet more records as it was strictly controlled.
WO 23 at the PRO Kew will detail much of the pension provision and payments
I have a book entitled My Ancestor Was in the British Army by brothers Michael J and Christopher T Watts. (Society of Genealogists ISBN 0946789479 Pub 1995) most of the info you would need is in there and all the archive info, too much to write up here.

[Mosaic]

I've a feeling that a that time, the payment and rewarding of soldiers was done by their Generals, who were toffs with land and money to begin with. So paying off your ranks would be done in lump sums, quite literally a 'division of spoils', and this was pretty much up to the generosity of your general and maybe a bit more from additional charities. A typical reward, that would provide an income, was a pub - look at the number of 'Marquis of Queensbury' pubs as an indication. A 'purse of money' ie a lump sum in cash might be more normal. As everyone is hinting, being able to keep tabs on who went where was difficult, travel was slow and expensive, and sending cash was dodgy - most people did not have bank accounts. In addition, most people died younger and were aware of their mortality, and so a lump of cash would be quite acceptable given that their expectations were not like ours ie living long into our 80s, 90s and beyond.
I think the late Georgian / Victorian reforms of the army brought in regular pensions but it would require at least the existence of post offices for their collection to be safely assured.

[Mosaic]

That should have been 'marquis of Granby', not Queensbury.