Just make sure you can legaly posses a firearm.
Per the ATF.GOV website:
http://www.atf.gov/firearms/faq/faq2.htm#b5
(Question B5) Are there certain persons who cannot legally receive or possess firearms and/or ammunition? [Back]
Yes, a person who -
(1) Has been convicted in any court of a crime punishable by imprisonment for a term exceeding 1 year; (FELON)
(2) Is a fugitive from justice;
(3) Is an unlawful user of or addicted to any controlled substance;
(4) Has been adjudicated as a mental defective or has been committed to a mental institution;
(5) Is an alien illegally or unlawfully in the United States or an alien admitted to the United States under a nonimmigrant visa;
(6) Has been discharged from the Armed Forces under dishonorable conditions;
(7) Having been a citizen of the United States, has renounced his or her citizenship;
(8) Is subject to a court order that restrains the person from harassing, stalking, or threatening an intimate partner or child of such intimate partner; or (9) Has been convicted of a misdemeanor crime of domestic violence
Check to see if what you are carrying is not a Title 2 weapon. If so make sure you have the appropriate paperwork with you.
Just make sure if you are boarded by the CG you notify them that you do have a weapon on board.
When I was doing boardings in the Coast Guard, the first thing I would ask was were there any weapons on board. This is a safety issue for both parties.
Hope this helps.