One more thing to consider is if you are building, or even if you buy a house and add a range, if you do not do it 100% legit, have the correct engineering done, and pull permits, you could find yourself in a world of hurt after the fact.
Just like finding a meth lab in your home, a shooting range that has not been done to code, could be classified, and thus the rest of the attached dwelling, as a contaminated and dangerous space. You could be in for very expensive abatement, and possible significant devaluation. Not to mention opening ourself up for litigation from neighbors who may or may not have been exposed to lead dust.
I have a friend who found out a renter down the block was running a meth lab in the house they were renting (the renter, not my friend). They were ordinary people, had kids, etc.
Long story short, cops, swat team, and most importantly, a team of guys in spacesuits.
The owner of the house saw the value of his rental property go from market value to land value overnight.
Of course a shooting range generates no where the toxins a meth lab does, but at the end of the day it could be the EPA stamping your deed with a "lead contaminated area" stamp.
Just for for thought.