You can have the manufacturer send it back to you anywhere that you can legally possess that gun and where you will be physically present to sign for it. It will probably come back by UPS, which is what my Contender did.
Contrary to popular opinion, FEDEX/KINKO's is able to ship handguns. FEDEX/KINKO's is owned by FEDEX and has real FEDEX employees working there. I took a Thompson Contender to FEDEX/KINKOs, told the guy what it was, he asked if he could open the package. He opened the package, looked at it, then asked if I wanted it shipped ground or air. Knowing full well that according to FEDEX rules it had to go air (which would have been $56), I told him ground and he took like $9.60 from me and sent it ground!
All went well, less than 4 weeks later UPS shows up one day with the frame, I had to sign for it. Next day UPS showed up with the barrel, I had to sign for that as well. All delivered to my home address which happens to be on an Air Force Base!
But, by the letter of the rules it will cost you over $40 to ship it yourself. An FFL might do it cheaper for you, and you can still have it returned to your home. Also call the folks at the gun manufacturer, they will help you as well. BTW, when they receive your gun, they will probably send you a card in the mail saying they have received it, what address they will return it to and who to call for information.