Yes I contact advertisers direct - always by snail mail with a sample publication enclosed.
The sector is a mix of arts organisations, small business and artists. For corporations and voluntary organisations I look for the "Publicity Officer" which is the usual title in the sector.
The sales pitch is in the letter and, frankly, if the product can't sell itself then I should give up as editor. I don't need a hard sell approach as I can sell out every issue and sometimes turn advertisers away. That is painful but I have to give readers a decent proportion of editorial otherwise we loose circulation.
The sector doesn't normally work through ad agencies so that isn't an issue.