THE ACFT WAS HEADED SW ON VICTOR SIXTEEN INBOUND TO COYLE VOR WHEN THE PLT REPORTED THE LOSS OF GYRO INSTRUMENTS. THE ACFT WAS AT 6000 FT AND IN 'SOLID IFR WEATHER.' THE PLT ELECTED NOT TO DECLARE EMERGENCY AND LAND WHEN ASKED IF HE WANTED TO DO SO BY ATC. THE PLT STATED THAT HE WOULD CONTINUE THE FLIGHT. SHORTLY AFTER THE PLT REPORTED LOSS OF GYRO INSTRUMENTS THE ACFT BEGAN TO LOSE ALTITUDE AND VEER OFF OF COURSE. ATC INFORMED THE PLT OF THE ACFT DEVIATION AND THE PLT RESPONED THAT HE WOULD TAKE CORRECTIVE ACTION. THE ACFT CONTINUED TO DEVIATE UNTIL IT HAD DESCENDED TO 5200 FT WHEN THE PLT RADIOED AN ABRUPTLY ENDED TRANSMISSION: '...I'M IN TROUBLE.' THERE WAS NO FURTHER TRANSMISSION FROM THE PLT. THE ACFT COLLIDED WITH THE GROUND IN A WOODED AREA AND THE WRECKAGE WAS STREWN A DISTANCE OF ABOUT 1700 FT IN A NORTHERNLY DIRECTION. THERE WAS WING, TAIL AND FUSELAGE SEPARATION OF THE ACFT.