I left the RAF and the UK in July, 1983, after 22 years in the mob.
My Service Pension is paid to me here, by cheque, and I bank it when the exchange rate is most beneficial to me. The problem with this is that, with the Aussie dollar so strong wrt the US dollar, my pension value changes monthly. It is index-linked to the UK CPI, which means a slight annual increase, except in 2010 when there was no increase at all as the CPI was negative.
I have an entitlement to a UK Age Pension, which is pegged (no increase EVER) to the rate at the time I left the UK. This is paid directly into my account here, at the rate decided by the authorities - I had no option about this.
I do not pay UK tax and, when I told the Australian Tax Office that I would avoid Aussie tax by having my pension paid into a UK account, I was told, in no uncertain terms "...after you have paid your eligible UK tax, then we will charge you Aussie tax-rates on the rest..."!! At that point, I gave in.
Edited to add that I am an Aussie, as well as UK, citizen.
Hope this is some help.
Kind regards,
The Night Owl.
