FFL dealers that would handle your transactions.. whether it is a legit gun shop or basement dealers..

Are we supposed to pay state tax on these transactions?

Thx,

Can vary by state law.  Generally I'd say if the person/shop you are paying for the firearm is in another state (especially a non-adjoining one) you should not pay sales tax.  The FFL doing the transfer is not seling you the firearm, they are just providing a transfer service for a fee.