Email Support
If you are faculty or staff, then you are likely eligible for a "facstaff" account, and you should take a look here:
Frequently Asked Questions for Facstaff.SAS
If you are a student, then most likely you are eligible for a "PennLive" account, and you should take a look here:
And here are some other useful email related links:
Configuring Your Email Client for the Penn Online Directory
"When setting up your email clients and/or webmail, this is where you would configure your email address as math.upenn.edu instead of sas.upenn.edu."
In addition, messages addressed to you and are automatically sent the same mailbox.