you'd have to sell for quite a bit less otherwise people would just use Coinbase etc?
Depends who you are. Some seasoned traders sell for significantly higher than the exchange price, hence why you tend to get a shit deal when you buy as well.
As a lay man, an exchange would give you a better rate, yeah.
If you're not interested in using Coinbase, you could always try
Bitstamp as well. Coinbase also has a more dedicated trading platform called GDAX with significantly lower fees, so that might interest you.