I am with you - simplest to just sell the warrant at a profit and move on to the next one(s).
The whole point of buying warrants in the first place is to get the upside exposure without having to commit anywhere near as much capital.
That said, **IF** you do have the capital to exercise, there are two scenarios in which this might makes sense.
1. If the underlying stock has options, you might exercise the warrant, then sell call options against the stock to get a little assist out the door.
2. DON'T QUOTE ME ON THIS, AS I AM NOT A TAX PROFESSIONAL - If you exercise a warrant it is like exercising a call option, I believe that you would now hold the stock with a "basis date" equal to that when you bought the warrant. If you have a big short term gain (and the warrant would expire before the gain goes long term) it could make sense to exercise, wait for the gain to go long term, and then sell the common.
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