I have done this. The only problem is that you need to allow more time for check-in. Using Southwest Airlines, they had a bunch of fast lines, and one long, slow line. Guess which one I had to stand in?
Have your firearms in a hard-sided lockable case, and have a lock for it. Procedures very by airport. In Orlando, I just had to show the case to the check-in person. After I showed her the contents, I locked it, and she escorted me to the X-ray machine, where my bag jumed to the front of the line. In Boise, I never open my bag at check-in, but was escorted to the security guy, who inspected my bag. He even looked under the foam. I was present, but I was not allowed to touch my bag. Then, he locked it for me and sent it on its merry way.
Really, this is the safest way to carry anything. If you have an expensive camera or jewelry, stick those in with the firearms. They still might get lost, but those bags get extra-special attention. Also, because it is locked, you do not have to worry about some TSA yahoo stealing your valuable stuff.