No, no, you need to write the country in ENGLISH 
so the mail people know where to send it! If you 
write it in Japanese, it might end up in China, 
who knows?!?!

The Japanese postal people can read it in both 
romaji and kanji, but on our end it's romaji 
only :D  It's really not that important. I 
usually throw the address into a web translator 
and then ask the person I am dealing with if it 
is correct. It normally is.