The issue in Indiana seems to be "transport" without a license, not "possession."
The law covers transport and "carry" (possession)
IC 35-47-2-1
Carrying a handgun without a license or by person convicted of domestic battery
Sec. 1. (a) Except as provided in subsection (b) and section 2 of this chapter, a person shall not carry a handgun in any vehicle or on or about the person's body, except in the person's dwelling, on the person's property or fixed place of business, without a license issued under this chapter being in the person's possession.
IC 35-47-2-2
Excepted persons
Sec. 2. Section 1 of this chapter does not apply to:
<snip>
(11) any person while carrying a handgun unloaded and in a secure wrapper from the place of purchase to his dwelling or fixed place of business, or to a place of repair or back to his dwelling or fixed place of business, or in moving from one dwelling or business to another.
If you own two pieces of property you can't transport it from one piece of property to another. If you're from Illinois you CAN bring your gun to the range if you have a permit issued by any other state. BTW, IANAL.
The DNR publishes in their hunting guide every year, that if your from a state that does not issue permits, you can't hunt in Indiana with a handgun, but that is NOT what the law says. IANAL. It seems these police have the same interpretation regarding the shooting range. But that is not what the law says. Again, IANAL.
See post#14: That is what the law says. BTW, ElTejon is a lawyer.
As you can see in the section of the law I quoted, unless you are moving, there is no "peaceable journey" law in Indiana, which is rather strange for a "gun-friendly" state.