For Southwest, read here
I feel sure other airlines also have a FAQ page on this
http://www.southwest.com/html/customer-service/baggage/special-luggage-pol.htmlthen click on "Guns and Ammo"
Ammunition
Small arms ammunition for personal use (provided it is properly packed) is permissible in checked baggage only.
The ammunition may be placed in the same container as the firearm and must be securely packed in cardboard (fiber), wood, or metal boxes, or other packaging specifically designed to carry small amounts of ammunition.
When checking ammunition, Customers are limited to 11 pounds gross weight (ammunition plus container) per person.
Magazines or clips containing ammunition must be securely packaged (placed in another small box or in a secure cutout in the carrying case, in order to protect the primer of the ammunition).
Make sure guns are unloaded and definitely never transport a gun in your carryon baggage!
Gunpowder (black powder) and primers or percussion caps are not allowed in checked or carryon baggage.
Loose ammunition or loose loaded magazines and/or clips are not allowed.