Found my answer. You can ship to yourself in another state C/O a third party. Read it from this PDF on the BATFE site. It is on page 10, sectiob B10.
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I am traveling to Florida soon for vacation and taking Amtrak. Amtrak does not allow firearms in checked or carryon bags. Can I ship a firearm to an FFL in florida if I am not a Florida resident? What is the process? Should I go through a local FFL dealer?