Almost always, I'm upfront about it right from the get-go since things don't usually get that far if someone doesn't even know what you do for fun (unavoidable ice-breaker, IMHO). It helps if your interests are well-rounded and diverse... you love to do a number of things AND shoot guns, you're not JUST a gun nut (if that's your only hobby, you can still get yourself a liberal girl, but you better have some other outstanding qualities!). Being open minded helps too... that does not mean compromising your values or beliefs, but being able to understand theirs at least. Just remember, you might be the only gun owner they may ever meet, do your best to represent us well! Even with only incidental contact, they can walk away with the seed in their mind, "That guy was completely normal AND he likes guns."
Not sure how to break it to someone who doesn't know except be honest and stick to it being about you, don't try to make it about her and what she should believe. I wouldn't get into any arguments about it or debates unless you're sure you can get your points across civilly (I fear a lot of people lack this talent). I wouldn't try to convince her of a "plausible" need, but- if you must- stick to principles and ideals that lead you to carry, not statistics or fear.
If you really like each other, I don't expect it to be an issue either way, so don't make it a big issue. If you're weirded out by it or seem ashamed of it, it might just reinforce the attitude that guns are fetishes/aberrant in her. It should just be another part of you as a person. So, IMHO, you do need to let her know, but don't make it an issue... only address it if she makes it an issue.