The best way to go is consigning it to an auction, and letting the auction house decide how to market it (and a little input from your end should be encouraged). Selling it in its entirety to one collector is a nice romantic notion, but it isn't likely to happen. Don't worry where the cards end up, just be most concerned with how to maximize the sale. You have no control over that anyway. You could sell it to one collector thinking it will stay intact, and then a year later he may decide to sell the cards one at a time on ebay. So that part shouldn't concern you.
As others have noted, how you choose an auction house depends on what you have; specifically, the value of the key cards and the collection as a whole. If it's not super valuable and you go with a big auction house, they will group the material and that's not best for you. In that case, find a smaller house that will sell as much of it individually as possible.
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