I used UPS to ship a shotgun to myself from NC to Colorado. Basically, I went into UPS told them I wanted to ship the shotgun to "terminal x" in Colorado where I would sign for it and pick it up. Everybody had to check with everyone else to make sure it was ok, but in the end it was allowed. I shipped it to the terminal in Colorado and picked it up when I arrived there......I do remember something about them only being able to hold it for 3 days at the terminal if I was delayed or something like that.
Either way it should be legal for you to do it, but do not expect anyone to know how to do it. It will be up to you to walk them through it.