Back in our day, it was when a gentleman caller came to the lady's house, met her parents, took her to a nice dinner, and had her home at a decent hour.
I think it's also sort of telling that you associate first dates with something that happen at an age when a girl would still be at home with her parents and need to be "home" by a certain hour. Basically, dating is something kids do and by the time you're an adult you're married.
In today's society, people tend to get married later in life. Anybody married before 25 is jumping the gun a bit and most people seem to be tieing the knot in their early to mid 30's. The majority of your first dates are likely to occur long after the girls of a particular age have moved out of their parents house.
Anyways - original question: I wouldn't bring it up. Simple reason - she doesn't have much of a vested interest in the relationship yet. If she isn't fond of guns, and she finds out that you not only OWN one (shock, horror, gasp, etc), but that you're carrying one, then you're unlikely to get a second date.
Now, if you're a few months into it, and you're both interested, then when the subject comes up it's much more likely to be something she's willing to compromise on. Ease into it over time.
Not to mention that even having the sort of conversation like "I just want to be clear that I am into X - want to get that out of the way before this thing goes too far." is just weird in and of itself. Doesn't matter if X is concealed carry, football, or collecting barbie dolls. It's a forced issue that just isn't a natural point of conversation during a first date.