just fill out a form? or pay for all that stuff too?
When you purchase a gun at an FFL (federal firearms licensed dealer) you have to fill out a form 4473. It isn't registration or anything but it's basically a temporary contract that you are the one buying the gun.
You can purchase long guns in neighboring states (states touching your state of residence) but I don't think you can buy a handgun out of your state of residence. I could be wrong but I think that's how it works.
So if you can't buy it in MS and you find it there, get them to send it to a dealer in LA and pay their transfer fee, which is usually between 20-30 bucks.
Hope this helped you out...