Like the others, I've done it a few times myself but the receiving FFL has to be good with receiving from a non FFL.
Also, make sure the private party that is shipping the firearm to your FFL includes a photo copy of his Drivers License along with the gun he's shipping/selling you. The receiving FFL will want that information for their records and will very likely not transfer it to you if they don't get a copy of the sellers DL included in the box.
And, if you've never done this before, expect the FFL you're having it shipped to, to have already opened the box BEFORE you get there. Often, people who have never done this before get upset because the receiving FFL opened their package before they got there but it's common practice