I just tell the person looking at the monitor just before my chips go thru. Like I said, it just seems to make it go a little easier. You are right - poker chips are easier to understand for them. If you claim casino chips they may start asking questions about if they are worth more than $10000 which opens another can of worms. (Just ask Jerry Birl about his side trip to Canada last year on his way to the convnetion in his car.)
Many people ask to use a private room when they search the bags but I just don't see the need. What is someone going to do - rob you? The airports have to be one of the safest areas anywhere these days.