I've been here done this not once but twice. The first time the SAS held a rally in DC (Mother's Day 2000) my name was on the permit filed with the US Park Police, and I was the one who met with them to discuss the details and logistics. So, I'm speaking from experience here.
First, do not hold the event on a holiday, especially Memorial Day or Independence Day. Not only do folks make other plans for those days, but the rally sites are reserved for official events.
Second, the event should be held on a weekend. Gun owners work for a living; they will not go to DC on a week day. Plus, if you ask to close streets on a week day you will end up pi$$ing off a lot of commuters. They may have been neutral on the gun issue prior to your event, but if you double their commuting time they will not support you in the future.
Third, you'll need money, and a lot of it. Why? Sound & Stage. Potties. Travel and hotel accomodations, and perhaps speaking fees, for your high-profile speakers. Insurance. Security. Trash pickup. Advertising.
Fourth, you'll need someone local to DC to coordinate with the Park Police. They're great to work with and they're happy to help, but they'll want to meet with someone to make sure that you've got the logistics covered.
Fifth, if you want to march, that requires street closings. Someone has to coordinate with DCPD; it's usually the person who is in contact with the USPP.
Finally - SAS just had a pro-gun rally in DC a few weeks ago. WHERE WERE YOU ALL????
The NRA doesn't do rallies since the return on investment of the time, efforts, money, and other resources required are very low. They can get more "bang for the buck" by mass-mailing their members and asking them to contact their legislators. 100,000 calls/letters/postcards/faxes to Congress are a lot more effective than 100,000 people on the Mall.