Walk up to the counter, tell the folks you have a firearm to declare. It must be unloaded. Then lock it its case. Ammo must be in a separate container, the manufacturer's package is acceptable.
Best way to guarantee your luggage will not get lost.
All airlines have their rules on their websites.
Guns and Ammunition
Customers are responsible for knowing and following the firearms laws of the state(s) that they will be traveling to, from, and through.
Our Customers must declare the gun to the Customer Service Agent at the ticket counter (no firearms will be accepted curbside) and ensure that the firearm(s) chambers are free of ammunition and the magazine clip has been removed (when applicable). Paintball guns and BB guns are considered the same as all other firearms.
Paintball guns are allowed in checked baggage and are not subject to the container requirements of firearms. Customers must declare the paintball gun to the Customer Service Agent at the ticket counter. Compressed gas cylinders are allowed in checked baggage or as a carryon only if the regulator valve is completely disconnected from the cylinder and the cylinder is no longer sealed (i.e., the cylinder has an open end). TSA Security Screeners must visibly ensure that the cylinder is completely empty and that there are no prohibited items inside.
Firearms must be encased in a hard-sided, locked container that is of sufficient strength to withstand normal handling, as follows:
A firearm in a hard-sided, locked container may be placed inside a soft-sided, unlocked suitcase.
A firearm placed inside a hard-sided, locked suitcase does not have to be encased in a container manufactured for the transportation of firearms.
The locked container or suitcase must completely secure the firearm from access. Cases or suitcases that can be pulled open with minimal effort do not meet the locked criterion.
Only the Customer checking the luggage should retain the key or combination to the lock. No exceptions will be made.
Firearms may be checked and will count toward the two-piece free baggage allowance for each fare-paying passenger. We allow multiple firearms to be transported inside one hard-sided case.
Southwest Airlines assumes no liability for the misalignment of sights on firearms, including those equipped with telescopic sights.
Firearms are never allowed in carryon luggage.
Small arms ammunition for personal use (provided it is properly packed) is permissible in checked baggage only.
The ammunition may be placed in the same container as the firearm and must be securely packed in cardboard (fiber), wood, or metal boxes, or other packaging specifically designed to carry small amounts of ammunition.
When checking ammunition, Customers are limited to 11 pounds gross weight (ammunition plus container) per person.
Magazines or clips containing ammunition must be securely packaged (placed in another small box or in a secure cutout in the carrying case, in order to protect the primer of the ammunition).
Make sure guns are unloaded and definitely never transport a gun in your carryon baggage!
Gunpowder (black powder) and primers or percussion caps are not allowed in checked or carryon baggage.
Loose ammunition or loose loaded magazines and/or clips are not allowed.
Paintballs must be packaged in a leak-proof container and will be conditionally accepted.
- See more at: http://www.southwest.com/html/customer-service/baggage/special-luggage-pol.html#baggage_special_luggage_pol_tab_list_tab_ 7