Most states' corporations offices have web sites and FAQ's on "How to Incorporate in [state]" that allow you to download the forms you need for incorporating, filing the appropriate taxes, business licenses, etc. Most, if not all, can be filled-out and filed by individual entreprenuers without an attorney.
The ATF had a FAQ on how to get your FFL.
I'd read both of these sets of materials closely, and determine if the cost is beneficial, and then I'd draw-up a proposed budget for the next 2 years, and then add 50% to the overhead to see if I can make it float in a near-worst case scenario. Most new businesses fail, not from lack of hard work, but from too-optomistic financial planning.
Primarily, you need a location you can hold business hours and from which you can legally (read state and local laws) do business.
It has to be a business for the purpose of making money, not just supporting your own collecting.
But, it sounds like your area needs a decent dealer, so you may have a good market.
Good luck,
Otto
ETA: On closer reading, EOD_Guy said essentially the same thing... sorry for the duplicate info, but atleast we agree.