Dain:
There are places on the web - sorry, but I don't have a link handy - where you can punch in an FFL number and it will come back with the holder's name and verify whether or not it's a valid license. Pretty simple to be safe this way.
Oh, and yes - to do this legally the dealer has to send you a copy of his FFL - signed in something other than black (blue or red, usually) so you know it's an original signature. You can only send the gun to the address on the license. Some dealers won't send their license to a non-license-holder, and some have no problem sending a copy to a private individual. Don't know why, really - it's perfectly ok to send a copy to a "civilian." Once you've verified the license it is perfectly legal for a "civilian" to send a gun to a licensee.