It's important to remember that the entire theory and purpose behind Tesla's coil was to create a way to transport electricity with minimal losses. That's what a tesla coil does, it increases the voltage and frequency to the point where it no longer has the same properties. It won't go into your body, but can only travel over the surface. True, it can burn you, but that''s besides the point.
The purpose is that it is damn near impossible to ground electricity at about 2,000,000 volts and 2Mhz. Therefore, the electricity only goes to the nearest and best conductors, hence a line of tesla coils would pass the electricity very efficiently for the simple fact that it has nowhere else to go. The air no longer becomes an insulator, and the electricity passes easily through it. If you really want a way to tranfer electricity like that, a tesla coil may just be the way to go.