There is a consulate in Chicago. But, if you've already applied by mail then there is no need for an appointment. I believe they may call to speak with you if they have questions about your application.
If you haven't already applied and would like to do it in person, you can get your visa back the same day if you do it in person. And, you can make appointments as soon as the very next day.
I applied in person in Chicago last month.