The Other Annoying Tax you'll pay is on the purchase of a motor vehicle, used or new.
In any case, Missouri and St. Charles County are most likely an improvement over the place you are moving from.
Part of retail sales tax can be avoided by shopping at locations that were not built with a TIF. It's small, but if I was looking to preserve my income I would get educated about which businesses charge the extra lug.
As for shooting stuff, there are several ranges operated by the Dep't of Conservation not terribly far away. Henges and Busch (when it reopens) have staffed ranges, the rest do not. You're going to find that you are surrounded by gun shops, they are absolutely thick. If you are interested in shooting air guns, I can introduce you my buddie's shop at Josephville. If you are interested I will give you a tour of Benchrest Rifle Club and get some shooting in.
There are three indoor ranges near St. Charles. The best is Unlimited Defense in St. Peters. There is one in Wentzville just off the interstate, and one just across the Missouri River at Gateway Gun club, which is better known for trap and skeet.
If you like to hunt and fish, go to the Department of Conservation web site to get a start; you'll find this a complete reverse of Texas, we have thousands of acres of public hunting and fishing available here. Supported by a 1/8th cent sales tax (whoops!) in place since the 70's that along with the rules that form our commission, put Missouri at the top of the pile in the US.
Missouri has a seemingly parallel Department of Natural Resources that operates state parks. They are not the same by a long shot, if anything, Natural Resources tends to bunny and tree hugging. But we do have some very nice parks for camping and hiking, just don't shoot there.
The summer weather will be just a half a notch cooler and just as humid as San Antonio, and no where near as nice at Christmas.