You may ship a gun to yourself anywhere you might be. (assuming it's legal to have it on the far end - shippping an AR and beta mag to NJ might be a little, um, dumb.)
There is no transfer of ownership, so ship it in a locked case and keep the keys in your pocket. This way whoever receives it "in care of" for you doesn't actually have access to te gun - just a fancy shipping box.
This is assuming that you already own the gun in question.
This advice potentially Null and Void in destinations with screwy laws. (ie: NYC, etc)