In your "line" of work I would stay away from direct mail, not many people open up the mail box and go "wow, he`s right I do need a private detective", this would be a waste of money in my opinion.
Did you work in the Police force in the area you still are working or did you move? Are you in good with the police force? They may be able to refer people to you.
Do you have a web site? That is one way to increase your exposure. Other than that, word of mouth in your line of work is the best (free) advertising. You could also, contact insurance companies, they use investigators all the time, also, I don`t know what you know about security, but you could offer that service as well. Not the actual security, but a "test" or "check up" of what they have now and where they need to be, this could be done for personal people as well as business.
Also. join or start a "leads" group. Business (and personal) people that you know that meet once a month and have coffee and just talk about what is going on in your community.