The only possible scam I can think of in this method, is that they might encounter someone who is on a faerie quest, and therefore unable to check the shop wiz price. I just automatically report that kind of stuff, and leave it up to TNT to decide whether it's a scam or not.
As for only getting that first request to have you (get and) sell them an item, it'd be better to tell them to buy it themselves. Why would they need you as a middle-person if they can find it on the shopwiz themselves (unless of course they might be on a faerie quest. But there's the neoboards, forums, friends and all sorts of other ways for that)? They might not have enough money to buy it themselves, and then start asking you to sell it cheaper (at which you can report them for begging
). Since you're stuck with that item already, you might be tempted to do it, too. Or else they might even change they're mind, leaving you stuck with the item.