Here is what I found on the net about purchasing firearms out of state.
How Can I Buy a Gun From Another State?
This is looking at the flip side of the previous question:
(B3) May an unlicensed person obtain a firearm from an out-of-State
source if he arranges to obtain the firearm through a licensed dealer in his own State?
A person not licensed under the GCA and not prohibited from acquiring
firearms may order a firearm from an out-of-State source and obtain the
firearm if an arrangement is made with a licensed dealer in the
purchaser's State of residence for the purchaser to obtain the firearm
from the dealer.
[18 U.S.C 922(a)(3) and (5), 922(b)(3), 27 CFR 178.29]
Again, only one dealer is needed. Also note that you don't have to have the dealer "buy" the firearm for you, you can make all the financial and sales arraignments yourself, tell the seller who will be handling the transfer for you. Only the transfer must be performed by the FFL holder.
On the same subject, an (apparently?) little known fact. "I'm in another state of which I'm not a resident -- I can't buy a gun, can I?" Yes you can:
(B2) From whom may an unlicensed person acquire a firearm under the
GCA?
A person may only buy a firearm within his own State except that he may buy a rifle or shotgun, in person, at a licensee's premises in any State, provided the sale complies with State laws applicable in the State of sale and the State where the purchaser resides.
[18 U.S.C 922(a)(3) and (5), 922(b)(3), 27 CFR 178.29]
So, you can buy a shotgun or rifle in any state, it just has to be in person (and legal in that state and yours).
http://chris.cc/interstate.htm