Hi Laura,
Gun laws vary quite a bit from state to state, so I would be cautious in dealing with interstate transactions.
Federal law prohibits the sale of a handgun to a non-resident.
Federal law allows the sale of long guns to non-residents, but your home state and/or the state in which you intend to purchase a firearm may not.
To be safe, I would get a copy of a local dealers FFL (Federal Firearms License) and have the out of state dealer ship the firearm to them, thereby guaranteeing total compliance with all federal, state and local laws. The FFL holder will usually charge a fee for this (it's called a "transfer") - usually $25 tp $50 (but be sure to agree upon the amount beforehand).
Gun shows can be a blast. Have a great time, but be careful - people who are really into guns often use them as a place to dump a "turkey" (a gun that has mechanical problems) on a stranger.
Good Luck!
Ps. FWIW, a Sig P-220 is my all time favorite defensive handgun. Great choice!