I have done it both ways, but now I take the power tubes out. I ususally dont worry about the preamps, but if you have a way of securely isolating the power tubes do it.
It never hurts to go the extra mile and wrap all of the tubes out. Shipping carriers can do a lot more damage than you think. My favorite amp got totalled by UPS and one of the preamp tube sockets got ripped all the way out because when I had it "professionally packaged" it was packaged with the tubes intact.
Where's a good place to get a box big enough for an amp head? My girlfriend gave the box I had set aside to her sister who then threw it away. I discovered this last night at 11:30 when I was preparing to pack it up. :gurmpy:
Also if you have any music stores near they can be a great resource for boxes. Even if they have already been broken down you can tape them up and be good to go.