For years, I recommended doing in-person cold calls because I personally found them very effective. But times have changed and in-person cold calls absolutely do not work in many settings because of security measures. Often you will simply not be able to get in the door.
However, if your “beat” includes offices where you can get in the door and speak directly with a receptionist, I urge you to give them a try. My favorite approach was always to do cold calls on a rainy day or Friday afternoons. Rainy days because it gives you sympathy. Friday because the receptionists are more likely to be in a good mood.