If you know what FedEx location the package is located at and the package is not already on the truck and out for delivery then yes you can go to the FedEx location and show ID and pickup the package direct from them.
However it's usually best to just let them deliver the package to your door and if you're not available and the package needs a signature then the FedEx driver will leave a door tag where you can sign the door tag which will be your signature and the FedEx driver should leave the package at your door.
If the package is already showing out for delivery then you'll have to wait until the package gets delivered to your door.