I would forget any normal exchange and go straight to an OTC broker. Genesis trading, SecondMarket's broker arm, has been around for long time now but there must be others.
Exchanges would get uptight and probably do anything possible to fuck with you. There are people out there with the money for that and people looking to link you with them.
Anyone arranging a sale through a lonely hearts ad is going to wind up with knife up their colon.
If you tell your bank beforehand then there's less likelihood of them having kittens as well.