First of all, we all know that the prohibitions of 18 USC 922 apply to not only interstate commerce, but also "foreign commerce". Sorry if I am insulting intelligence, however, I did not want this overlooked by anyone.
From what little I have discovered (way outside my bailiwick here), you do need to jump through at least a modicum of Custom hoops (not sure exactly what documentation is required or license type)when importing "ammunition, firearms and [i]implements of war[/i]".
You also must, as Circuits referenced, fill out and comply with an ATF Form 6, Part I (Part II is military), however, I don't know if a Class 1 license is required if the importation is for personal possession only and not for sale.
I will dig further if anyone is interested since all I've really done here is verify what others have already stated.
PS: Please ignore any intimations of the fruitfullness of illegal activity (ie. foreign smuggling) that Locknload's reply might convey. No flame, just would not want to give anyone the impression that the anectodal information conveyed was advice on how to "get away" with illegal activity or that this behavior is condoned in any way. Always stay legal.