If you've got the time, I say drive. I've always wanted to do something like that, what better way to bond with your new car!
There was a bimmerpost member who drove their M2 from the east coast to CA and took photos the entire way. They used this stuff
http://www.trakktape.com/ to help protect the paint. It didn't look too good on their car but I imagine it was their application. I'd look into it if I were planning a trip like this and you are planning to keep the car as mint as possible.