Honestly, it is too much hassle to deal with individual sales, making sure the guy is not a PayPal scammer, etc. Selling in a mostly automated way via MtGox is just fine for me.
To clarify, I don't actually think I will eventually run out of Bitcoin wealth, as I expect their value to keep increasing (unless Bitcoin crashes).
I am simply cashing out as fast as I can, in the short term, in order to diversify my wealth across BTC and USD to spread risk. I own the equivalent of $2 million in Bitcoins, so I would probably want to sell a quarter or a third of that.