Once it's checked in, your luggage with the gun in it is treated like any other luggage. If you are flying from San Diego to Atlanta but plan to make an overnight stop in Denver, you will retrieve your luggage in Denver and will have to recheck the gun before you board the plane for Atlanta. If your trip involves a change of planes somewhere along the way, the luggage (hopefully) would just be reloaded onto your new plane and continue on to destination, just like any other luggage.