The only guns that need to go through an FFL is handguns. It is 100% legal to sell to a private party as long as you verify that they are able to purchase a firearm. Then again it's not like you can call up the state police and do a NICS check.

I'd have to agree with the assessment that it sounds as though someone calling out of the blue is casing you out. verify the address then ask if you have any guns? Sounds fishy to me.