If you are faculty or staff, then you are likely eligible for a "facstaff" account, and you should take a look here:
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:
"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 ...@math.upenn.edu and ...@sas.upenn.edu are automatically sent the same mailbox.