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I have a couple of Warmachine armies to sell/trade, but what is the best way to do so? As a complete set for one price, piecemeal, or by smaller 500 pt lists?

From my experience, the higher the price of the army, the more times I see people have to re-post. You have to be much more patient when trying to sell a whole army. You have to wait for that one person that wants to buy an entire army for a game, and has several hundred dollars saved up and ready to spend. It is much easier to find someone that wants to bolster their army in $50 - $100 increments, or someone that wants to start up a game in that same price range.
Also, if you are trading as well as selling, you will have a much better shot of offloading the army. Good luck....

Agreed with what Cypher said. It does generally take a bit of time and patience to sell entire armies. Also, because of online retailers you generally have to be willing to sell pretty cheap.
The problem with parting out armies is that you generally have leftovers that just won't go away(which alot of people,like myself, don't want).

You will also want to have pictures of the army, especially if it is painted to any degree. This may seem obvious, but I've seen people asking for lots of $$$ with no pictures.

Armies are like cars - you can get more $ overall if you chop it up into smaller pieces.

That's very true. The magic number seems to be $200...and that's usually only if retail for the lot is at least $500!

Piece it out, and you should do much better.

I think the best way to part out an army is by arranging units and selling those off. IIRC, Warmachine is a skirmish level game. Organize them into units that could be played on the table-top. You might also consider organizing them into the same units that come in the starter boxes and/or units to supplement them.