Hey Jim,
In general, most folks take their own bike but either is possible. Benefits of taking your own bike is that you get to set it up and test it well before you leave and in general bikes and gear are cheaper in the US. That negates some of the downsides which are mainly the hassle and cost of shipping. It does depend a bit on each individuals circumstances though.
You'll have to buy a carnet either way to cross countries like Egypt.
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