From my experience, you are never given the room number for you to walk in. You call the SP when you get to the hotel, he verifies in some way. Selfie or hotel pic to confirm you are there, or ask you to go to some specific place where he has people watching. Only then he gives you the room number, or instructs you on the phone where to go till you reach the room. Usually they have paid the hotel enough to look the other way, so should not be a problem.
For your safety, check the hotel restaurants, bars, spa, etc. - esp if something is on a high floor so that you can say you were looking for it if someone asks you, and pretend to be lost.
[QUOTE=Newbie1998;2875905]What is the etiquette for an incall in a 3/4/5 star hotel? Should I directly go up to the room? What should I do if the someone at the reception stops me? How unsafe is it typically?[/QUOTE]
