Hi and welcome to the Forum.
I'm an ex-serviceman in receipt of both a MOD and State pension; when I lived in the Netherlands, I could choose to have them paid into either my UK or Dutch bank account; the only risk you take is playing with exchange rates if applicable. That said, pensions are not classed as benefits in the UK, they regard them as income, so it doesn't matter where you live.
If the benefits you are referring to are nothing to do with you being a serviceman, then I know some can be paid if you live abroad. The UK Government website has a whole section applicable to living in Gibraltar; this link will take you straight to it. There is also a section of there website that deals specifically with all UK benefit claims if living abroad; this link will take you straight to it.
I hope this helps.
Cynic
Expat Team