I always go in person, cash only. I switch WU's locations whenever possible. No ID. as long as the amount isn't over 1k.
I've never tried WU online, but if you have to transfer or draw money from a personal account (check, savings, cc or dc) to pay WU, i'd say that is a "no no". cash is the way to go!!.
If you think doing it personally is a hassle you may try e-gold.