Unless you have a buddy relationship with your FFL who will not overcharge you, then I would say send it out yourself. The ONLY advantage of using an FFL is that they can send it out using the USPS, and most FFL's will still ship it out using UPS or Fed Ex as they have local pickup service.
And as someone else already mentioned, by using an FFL you will have to go back and pick it up from them, compared to having it shipped directly back to you if you ship it out yourself.