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Is this correct? - 'I am in bewilderment of whom should I write to'. Does this sentence sound alright?
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I am bewildered as to who I should write to.

If you put 'to' at the end, use the nominative pronoun—this is the informal style. The formal is too awkward, I think:

I am in bewilderment as to to whom I should write.
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I am bewildered as to whom I should write.
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