Flying with guns is actually pretty easy. I just got back from a trip to ABQ (from where I live in Florida) to bury my father. He left me two guns, both handguns, which I brought back with me. I also brought one with me for the trip, as NM recognizes both OC and Florida's CC license. The first check-in, in Florida for the trip out, had the US-Air gate attendant have me open the locked case and show her the empty chamber of my PF-9. Two loaded magazines were fully enclosed in pouches, and placed in the same hard-sided locked case as the pistol. This is acceptable per TSA requirements, and the airlines usually just go by them. The case must be "hard-sided", and the lock on the case must be accessible to you only; no "TSA locks." It can be either a keyed lock, or a combination lock. On the back trip, I was not asked to open the cases (Continental Airlines, now a US-Air affiliate.) I simply declared them; the PF-9, with its magazines, was in the same small locked cash box it went out in, and the two revolvers picked up from the estate were in a locked briefcase. Also in the briefcase was a box of ammunition for the revolvers. Once declared, the piece of luggage containing these two containers was moved to first-in-line for x-ray, checked as luggage, and everything was fine.
I used a metal cash box with a keyed lock for the Kel-Tec on each trip. It could not hold the two additional guns I was bringing back, so I used a hard-sided briefcase I found on my dad's property for them on the back-trip (it has a combination lock.)