Back in the 1970s my Dad checked into it (and I'm certain its a lot more difficult today). Besides the FFL, with all its requirements, there was a NY STATE firearms dealer license you had to have, and all the regular business licenses as well. Also, they were pretty picky about zoning laws too.
Our local gunsmith had his shop in what was once his garage,but he had been there since just after WWII. Another fellow had a gunshop in his basement, which had its own outside entrance. But it was 40+ years ago...
Check with the local BBB, chamber of commerce, and zoning board, as well as the ATF. Talking to a lawyer couldn't hurt either (except for the cost). Do NOT rely only on information from the cops (or the internet!).
Getting an FFL in another state and moving to NY is only good for knowing if the Feds will grant their license to you. It does nothing for the NYS requirements. And the out of NY FFL would have to be amended (or reapplied for) when you changed address, anyway.
Good Luck.