It is not a matter of "quicker". Any transfer in which there is an individual (non-class III dealer) involved requires a tax stamp.
So if you buy across state lines and use dealers, it is one transfer (and tax) from the seller to a dealer in that state, then another transfer (and tax) from the dealer in your state to you. There is no tax on the transfer from dealer to dealer.
If you buy within your state, a dealer need not be involved unless state law requires it. A seller can deal directly with the buyer, with one transfer tax and one Form 4 approval.
If the item is in the C&R category (many original WWII NFA weapons are), a seller can ship directly to a collector license holder in another state with only one tax payment and one Form 4 approval. Be careful, though, as state and local laws must be obeyed.
Jim