Also, I would want to at least have some documentation showing the sale happened. Its better than nothing.
Better for what? There's an extremely slim chance that a gun you once owned may come back to "find" you.
IF a crime is committed with the gun you once owned, AND the police recover that gun, AND they don't know who committed the crime associated with that gun, THEN they will contact the manufacturer and find out what shop they originally sent it to. They can contact that shop and ask to see the record of who first bought the gun. They can then go talk to that first owner.
If they can locate the first owner, they'll ask them if they know where the gun went after they had it. Dealer? Private sale? And so on. If they're very lucky, they might be able to trace it along the path to you. (Heck, maybe you bought it factory-new. That would make it easy.)
You say, "Why yes, I did have that gun from 2003-August of 2005 (or whenever) when I sold it in a private sale."
They say, "Do you know the person you sold it to?"
You say, yes, no, whatever the truth may be. So long as you had no knowledge or reason to believe that the buyer was a prohibited person, and you believed that he was a resident of your state, you're completely in the clear.
They say, "Thank you for your time." And go away.
You can't be convicted of a crime simply because you once owned a gun that was used in that crime. If you weren't
present at the scene, and/or aren't somehow directly involved with that crime -- that past ownership cannot harm you.
We live in a record-keeping society where being able to "prove" things makes us feel a bit more warm and comfy. But in this case it is unnecessary.