Yes, absolutely. And I try and make sure the manager knows that I will not be back, and why.
I propose that a better method, in my opinion only, would be to let them know as soon as the no guns or no weapons sign goes up...and just don't go.
IMO sneaking around with the gun and only 'taking a stand' and telling them why you won't be back after they find out you are carrying against their wishes makes your 'boycotting' of them much less valuable than it otherwise might have been