We went with a full page load for a few reasons:
1) This is the way WordPress does it, and we try to do things the WordPress way. Check out /wp-admin/nav-menus.php in your WordPress admin.
2) Our users are using WorkFlow tabs to divide up lots of options, meta boxes, etc. The individual page load helps the page load quicker since Piklist only loads what it needs, not every tab.
However, Piklist makes it very easy for you to do this yourself if you want. You would need to include the CSS and JS that comes with tabify. And then wrap your fields in the appropriate markup.
Since Piklist is code based it’s easy to do.