I just flew Southwest from Texas to Missouri and checked in my LCP. It was my first time so I wasn't sure what to expect. It went very smooth, they didn't even ask to see the gun (TSA nor airline), they just asked if it was unloaded. I said yes and they said ok.

I had the LCP in the little case it came with and threw that inside a footlocker locked with a padlock. The advantage to this was that everything else in the footlocker, camera etc, was also securely locked and no one but me had a key. it really seems like the smartest way to secure your luggage, since otherwise you can't lock it and anyone can get inside your bags.