Speaking of Cover Letters
Adapt your cover letter to their specific ad. If they say they want a copywriter with certain skills or even certain personality traits, use that info in your cover letter.
Do more than just call out the position's title they're looking to fill. Use the keywords they use in their own ad to show them you are exactly the type of person they want to hire.
Tailor Everything Toward That One Position
If the agency is looking for a copywriter to write print ads, send as many print ad samples as you have. You can always talk about your experience writing other materials within your cover letter and show this as well in your resume. Do feel free to submit a few samples of your other types of work and always let them know more writing samples are available upon request.
However, the key here is to give the agency exactly what they want. Getting those print ads directly into the hands of the Creative Director gets you right on track with that position's requirements. This pushes you far ahead of someone who submitted no writing samples or someone who submitted a hodgepodge of writing samples.
Don't Stop With the Ad Agencies
Look through all of the ads in the newspaper because many companies have an in-house ad agency. Instead of farming their materials out to ad agencies, they have a complete ad agency in their own company.
This is a great way for you to land the copywriting job you want. Instead of working with many clients like you would with most ad agencies, you would work exclusively on this company's advertising materials.
If this isn't your dream job, don't worry. The in-house agency positions look just as good on your resume as working with an outside ad agency when you're ready to move on to another job.
Use Your Freelancing to Get an "In" with the Agency
Since you're also freelancing, you can send your materials to a Creative Director promoting yourself as a freelance copywriter. Once you get an "in" with agencies this way, even through freelancing work, you gain those contacts you can use to get a permanent full-time position.
Create an ad campaign for yourself if you don't already have one. Use a letterhead that's consistent, show them your skills, your rates, your policies, everything. Send the materials to Creative Directors within your city to gain those potential clients and contacts. If you wanted to pursue freelancing full-time, you would extend this campaign outside of your city to get even more agency clients.
What's In Your Portfolio?
Take a look at your portfolio. This can be an excellent source for what you should send to Creative Directors.
You can send a mini-version of your portfolio with your cover letter and resume. This can include a list of clients you've worked with, companies you've worked for, etc. Think of it at as a preview version of yourself that you can give the Creative Director before he or she even meets you.
Get your portfolio ready now because when the agency does call, you want to make sure it's ready to go. 10 Tips to a Perfect Portfolio is a great place to start and can also help you tidy up your portfolio for the mini-version you can send to Creative Directors when applying for a job.
Good luck and be persistent!