The reason that they want to do this is that they are fascinated with the idea of Boo Radley. To them, he is like some sort of a monster. He is not a real person -- just someone to make up stories about and use as the basis for games. So they think that they can prove their bravery and daring by getting a note to him.
Atticus makes them stop when he finds out what they are doing. He tells them to stop tormenting Boo. This, to me, is because he expects them to treat people like people -- not to use them as playthings and treat them as monsters.