I tried to, once. What I was given was previously part of an ATM or something.
1. Ensure that it is actually big enough before taking possession of it. I was given a 3x3x3 cube that I didn't check out before it was dropped off. Not big enough for long guns.
2. Figure out where you want it put before delivery. I had to re-arrange my garage and build a platform to put it on. Until that happened, it sat on a pallet in the middle of the garage.
3. Decide whether you can tolerate holes in the unit. As stated, it was previously part of an ATM and had holes for cables and stuff going through it.
4. Check out the lock mechanism. Mine was electronic and did not like to work when it was < 60*F or without new batteries. This can be a pain when the more expensive Christmas presents are locked in there.
5. Even if reset to factory default, finding instructions on the interwebz to change electronic locks can be a serious pain.
6. Decide how you're going to get rid of it when/if it does not work out.
I ended up posting mine on craigslist for free as scrap metal. That was the best move I could make. We were moving. The guy who picked it up worked at a junkyard and took a trailer load of other stuff away for me, too.