If you are shipping any club you will need to make sure the head and the shaft are protected. If you are shipping a lot of clubs put have in grip first and half in grip last. If possible ensure it is secure in a way that the club cannot move about too much.
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Golf clubs are actually cheap enough to ship, it just depends where you are shipping them to. In the UK it is about 10 pounds to ship to anywhere in the UK, and it is about 20 pounds to the farthest side of Europe. You should check on eBay and see how much other people are charging and you should also contact your nearest postal/shipping service and ask for a quote.
For the best answer you will need to go to the website of the airline you are flying with, or phone them. This is because it varies from airline to airline. Some of them are reasonable, but some are quite expensive, and if you are only going to play once or twice you may be best to rent clubs.