Sotheby's , Christie's, Bonhams are all worth a try and I have bought historic documents at all three. These big auction houses, however, are really only interested if the letter is itself of historic importance, or its contents are of interest to historians or other specialists and collectors. It has to be of interest in some context relevant to some other area.
Better , in my opinion is IAA. All they sell is autographs and autograph letters and documents. They are known by every collector of such material, across the world, just as Sotheby's is known for art. The range of lots they have is enormous, from estimates at about fifty pounds to tens of thousands, and from such things as a signed photograph of Jerome K Jerome and a palace order for costumes for Henry VIII's musicians. Their auctions run for two days at a time and have well over a thousand lots
Website:
http://www.autographauctions.co.uk