What kind of pension? A fixed-payment pension where you get a set amount each month for the rest of your life? Or is it the type where they make automatic contributions to a 401k account? If it's a 401k account, then moving it into Traditional IRA wouldn't really be a huge difference. Look to see what the average returns are and what the maintenance fees are for each account and see where you'll make the most money. A lot of large companies negotiate much lower fees than what you'd be able to get on your own. It seems like most people combine their retirement accounts out of convenience more than for an investment advantage.
Leave it in your pension plan. You will thank yourself for doing so when you retire. Depending on your age, you can always start another IRA and make contributions that will add up quickly for an additional source of income when you retire. Pensions are becoming a thing of the past.
According to Boston's Financial Research Corp, it is better to leave your money in a pension plant that to roll it over to the IRA. This is because of several advantages for instance lower investment expenses.
It depends on the interest rate you can earn. If you have a 401(k) invested in mutual funds, it will probably earn more than an IRA. If it is a company pension plan, ask what interest rate is being applied and then compare to rates being advertised by financial companies for their IRAs.