I completed Innocence Lost but haven't received any letter. Is it a glitch or should I keep waiting?
You don't need to receive the letter to join the Brotherhood, from the wiki:
Within a few days, a courier will deliver a letter to you. In some instances you can simply sleep in a bed for 24 hours, and you will wake up in Astrid's captivity. The letter should be a black hand print, with the words "We know" underneath it. You must then sleep in any bed to be kidnapped by Astrid. It is possible to sleep and be kidnapped before receiving the letter and if this is the case, you will never receive the letter but will still be able to join the Dark Brotherhood. If you sleep in a bed you will be kidnapped and will awake instantly in a locked cabin. Here, you will meet Astrid, a Brotherhood member, who tells you that by killing Grelod, you stole a Brotherhood contract, which must be repaid.
So now that Grelod is dead, you need to find a bed to sleep in, even though you did not receive the letter.
So if you want to know how to join the darkbrother hood this is how i did it. I was at the whiterun stables and there is a cart were you can go to riften(cause it's faster) You can go to any of the carages. And then go back to whiterun and go to windhelm. And find aventi's residence. And unlock it with a lock pick(it is novice so it should be easy. Complete the quest innocent lose. And find the neaest bed. You must sleep for at least 8 hours. You should be kidnapped by this lady and she'll tell you to kill someone. Then continue on.