I am not an expert on the gun thing, but I am pretty sure you are better off buying one here, it will be more expensive but gun dealers will help you get the permission so they can close the sale, also there are restrictions on certain guns regarding magazine capacity and caliber (I believe for handguns it's nothing bigger than 9mm - so leave the Desert Eagle at home)
Also importing guns means you have to deal with customs, and importing simple things like t-shirts and shampoo is more of a hassle than most of us can stand, so importing a gun collection is probably just plain impossible.