Should I fly to Chicago to seek employment there?

Sooo I’ve been looking for financial type work in the commodities and equities markets but there really isn’t a lot of opportunity for what I want to do where I live – Los Angeles. Chicago or NY are the places to be for the types of jobs I want. I have been applying, and in my cover letters state I am happy to fly out to interview and excited to relocate, etc. however I feel that my current location is a detriment to my chances at even being considered. My resume is ok, but it is not stellar. I am great in person and can talk the socks off of the people in the industry, but of course, that won’t come across in the resume or cover letter.

My question is—or maybe it is more of asking for advice—do you think I should fly to Chicago for a week or two and apply to places before hand, state I am coming out to look for work, and request interviews? Should I just show up and ask to speak to the hiring manager? I understand this may reek of desperation, but I’m at a loss for what to do. I have not found a job in this industry in 3 years since graduation. I really believe that if I can get in front of the right person I can convince them to consider me for the types of positions I am interested in. Is that crazy?

—As an aside, I’ve been to Chicago twice before and thought it to be a great city.