Pretty straightforward.
Find an FFL close to you that will do a transer for a reasonable price ($25 is what I pay) then have them send their FFL to whoever you want to buy from, CDNN or otherwise.
Place your order and reference your FFL.
The gun ships to your transfer dealer, you go in and they do the NICS, fill out the 4473, you pay the transfer fee and it's done. Now this is in a state without odd state requirements.
CDNN specifically I've done business with on magazines and parts, but not a firearm. I've always had good experiences buying from them.