Talk to them. Try and learn some more information to make a judgement call. We were all 0 feedback users once. Maybe the guy just wants the set, browsed Amazon, browsed eBay, then checked BrickLink and saw you had it at a price he liked, and decided to make an account to buy it. You could quite easily find this information out and make a judgement call on whether he's pulling your leg or not.
I sell to 0 feedback buyers all the time. My logic is, if they're just starting out buying their Lego collection, and you nail down a flawless transaction on their first buy, the chances they'll be coming back to you to buy more in the future are pretty solid.