Out of state guns purchases must be done through a pair of FFL persons. The first is the gun shop where the weapon is purchased from. You have to go through all the federal requirements, paperwork and FBI checks to be approved for the purchase.
Then you have to go through the exact same paperwork and FBI check again when the gun arrives at your local in-state gun shop. If you pass the approval cycle at the first gun store, you should be able to pick it up, rather than going through the time and expense of a second set of paperwork.
It is ironic that the federal law states the firearms must be shipped through a common carrier, like Federal Express, who can hire ex-felons, which are prohibited from possessing, handling or even being in the same room with a gun. FedEx was specifically mentioned, as they recently had an employee, who was a felon, convicted of stealing firearms from the truck.