Don't say anything for a few dates.
My current girlfriend was not what you would call a "gun person." She wasn't opposed to them, but never had any in her house and didn't see them as necessary. We went on several dates before the topic even came up, but by that time, I think she realized that I was a normal person, and acted no differently than someone not carrying. She was actually a little tickled to know that I had had a gun on me every time we had seen each other, and she had no idea. (I keep a LCP in my back pocket in a nemesis holster, so she never really brushed against it in our encounters...)
Now, she has even gone to the range with me numerous times, and LOVES shooting. She is actually considering getting a gun for herself, and possible her ccw.
I say all that to say, if I would have brought it up on the first date, chances are she would have freaked out and not seen me again. But since she realized that it is not a big deal, she has really warmed up to it!
That's my two cents.