I have no experience with handguns in this respect, but at least for Oregon and Arizona, even long guns would have to be shipped to an FFL in the state you lived in. I bought a rifle for my father-in-law for Christmas while I was still in college (it was a cheap mil-surp). I was not allowed to take possesion of it (DL was for OR, school was in AZ) and had to have it shipped to an FFL in OR. Doing that about doubled the cost of the rifle, though it still was less than $100 total.
I have no idea if other states do things the same or different. Best bet is to look up the laws yourself. Next best would be to talk to an FFL in both your home town, and the town you intend to visit. If they don't know, they'll most likly default to the safe answer of "You must ship it back to your FFL."