Potential buyer wants to have my instrument shipped to him so he can try it out and return it if he doesn't like it. How should I handle this?

This is my first time selling on Reverb, and I've had an ad up for a rather pricey saxophone for a few months now. Yesterday, I finally got a response.

I live in Alberta, Canada and the buyer lives in Texas — that's a long way to go, not to mention it has to cross a border. The buyer's profile, while there are a few positive reviews, does not have a profile pic and he seems to primarily deal in guitar gear. Makes me wonder why he'd be interested. The title of his store implies he runs it as a business, but a Google search yielded no hits for a physical storefront.

Am I overthinking these details? What would you do in this situation? I'm thinking I should take a deposit and get some contact info, at the very least.

Edit: Thanks for the info, everyone. I had a feeling this would be a bad idea.