my husband & I have been retired for 12 years, we have our pension paid in Euros monthly direct to our French bank. Because the British government buy a lot of Euro at a good commercial rate, no bank charges, so it works well.
We have opted to pay French Tax on our pension rather than UK tax, and that works well for us also. It is very straight forward, if you have any issues, you have a direct line to the Pensions people from outside the UK, and they do not keep you holding on.
The only problem we have from time to time is with the tax office. They have told us that their system does not always recognise that we are on a no tax code, and they start to take out tax. Just a phone call, and they issue a new tax code NT, and contact the pensions funds and tell them to refund us, if you have any private pensions and tax has been deducted.
Private pensions, some do charge you bank transfer fees, and they can be expensive, so it may be a good idea to leave the private pension in your UK bank if they charge, and transfer it as you need it, it will be cheaper.
One point I make, if you have a UK bank account, do not close it, because you can't open a IK bank account unless you have a UK residence. I have friends that made that mistake, and it is costly for them.