Call the BATF, get the paperwork, fill it out, and wait.
The pain-in-the-neck factor will be the same one way or the other, and the biggest part of that will be the waiting.
Save the money and just deal with the process.
It's not that bad, but the wait is...
and nothing will make the waiting go away.
As for the price of having a dealer do it for you, it won't be any different (insurance might be marginally higher for a super high dollar gun...) if it's a .22 plinker or a best London double rifle.
Shipping and handling is shipping and handling.
Cheers
Tinker