am guessing it's a big/expensive item so he may want to have it collected from yours and delivered next day by parcel force or w/e? ask them!
I sell on ebay quite a bit, often Ive sold off ebay, never had any problems, but my items are worth about £70 so with fees it costs me about £10 worth of fees for each item incl paypal.
Sometimes you gotta trust your instinct with someone of that feedback I would trust someone who has been registered a long time with a lot of feedback also.
What the buyer means about arranging delivery himself is that, you have to wrap the parcel so its protected, he will arrange and pay for the courier to come and collect from your house, you have to wait in. Sometimes this can be a bit of hassle if the courier dont turn up.
a tip for future always regardless of how inexpensive the item is send recorded, always make sure you have a signature.