I buy guns outside my state of residence fairly often. My last purchase was a rifle and three pistols only about 6 or 7 weeks ago. Here's the drill:
Federal law allows you to buy a long gun outside your state and take possession as long as your state doesn't prohibit it.
Handguns must be shipped to an FFL in your state of residence. You will comply with all Federal and State law as if you were buying the handgun there. Arrange with a dealer before you leave and find out what they will charge you. I always carry a business card from the FFL I want it shipped to. The shop you're buying from should call the receiving FFL and have them fax a copy of their license. You pay for the handgun, packing and shipping before you leave the store. When you get home you pay the receiving dealer whatever their fee is to accept it and do required work. Don't forget to add in any state fees. You should only pay sales tax in the state where you buy. If you make the purchase over the phone you may be able to avoid sales tax altogether.