99% of the time it goes as it's supposed to. Very rarely are there any problems with it, it's just that when there is it gets blasted out there and makes it seem as if it's common. Early on post-9/11 there was some confusion about the rules and some TSA people didn't know the policy, but nowadays that is pretty much unheard of.
Do what you're supposed to do - package it unloaded in a locked, hard-sided case - and there will almost never be any problems. Use TSA locks to make it easier for them to check (this'll usually save your lock from getting clipped). As for marking the bag with a "F", we don't do it here but it really doesn't matter anyway; unless you're putting it in a golf bag (hard case, or a hard case inside of the golf bag) or inside of another bag, the baggage handlers already know there's a firearm in there (they know what gun cases look like). So unless it's hidden, they already know. Firearms rarely go missing, though, as there is alot more of a shitstorm when they do, and LEOs and the airlines tend to take it a bit more seriously than grandma's makeup case.
All that said, never check anything valuable if you can carry it on with you (firearms of course you have no choice). The baggage handlers do steal shit regularly, and what they don't steal they literally throw around and generally bang to hell.