Originally Posted by DaveBlaine

It is not illegal according to the feds; it is possible that the states involved may have an issue.

(B9) May a nonlicensee ship firearms interstate for his or her use in hunting or other lawful activity?

Yes. A person may ship a firearm to himself or herself in care of another person in the State where he or she intends to hunt or engage in any other lawful activity. The package should be addressed to the owner. Persons other than the owner should not open the package and take possession of the firearm.

http://www.atf.treas.gov/firearms/faq/faq2.htm#b9

You aren't transferring the firearm. Only sending your property to yourself.

AND YES, UPS allows it: Use These UPS Services for Your Firearm Shipment
UPS accepts packages containing firearms, as defined by Title 18, Chapter 44, and Title 26, Chapter 53 of the United States Code, for transportation from and between licensed importers, licensed manufacturers, licensed dealers, and licensed collectors, as defined in Title 18, Chapter 44 of the United States Code, law enforcement agencies of the United States (or of any department or agency of the United States) and law enforcement agencies of any state or department agency (or political subdivision of any state), and from and between persons not otherwise prohibited from shipping firearms by federal, state or local law and when such shipment complies with all applicable federal, state and local laws applicable to the shipper, recipient and package....