Its not like everytime you walk into a Western Union outlet they are thinking "This guy is sending money for them Ster-oid things!!"
All info is logged into a computer, if the person you are buying from is being watched you could get fucked.
Even sending any type of express mail to someone is logged in a computer. If you are going to get popped, you are going to get popped. Just use your head, I hate western union--and I think it is a poor choice for sending cash to a source.
If you send express mail of some sort there is no way they can tell you sent the guy cash, unless they intercept it.