In my particular case, I just told them I was buying a gun. Of course, I had no reason to think that they'd disapprove, so it's a bad example (they didn't).
In your situation, my approach would be a sort of passive-aggressive one. I wouldn't make a big deal out of pointing it out (unless you're trying to change their minds, of course, but I'm assuming you're just interested in living your life the way you want to), but I also wouldn't go out of my way to hide it. It's just what you're doing, and at some point, they have to accept that you do things they might not approve of. Trying to keep your guns secret from your parents is, IMHO, counterproductive - it's still letting them dictate your decisions to you.
This is not to say you shouldn't take your parents values and concerns into account when living your life, but you've clearly already decided that you disagree with them on this point. Once you know that, there's no point in pretending to agree with them.
The closest analogy I've got in personal experience is my current g.f. My parents are Catholics, and of a much more traditional bent than I am. As such, they disapprove of sex outside of marriage. I disagree with that point of view (and I mean I actually disagree with it in principle, not just I disagree because I want to have a good time), and live my life that way. While I don't exactly show up at my parents' place telling explicit stories, my g.f. and I also only booked one room at my sister's wedding, and I didn't make any effort to hide it.
The point is, I consider some things - gun ownership among them - to be adult decisions that you have to make on your own. For those sorts of things, your parents can be a valuable resource of opinion and perspective, but if you decide you disagree with them, that's your business, and you shouldn't be ashamed of your decision. Not rubbing it in their faces is good policy from a courtesy/respect/lack of tension at family dinners sort of way, of course.
OTOH, my parents are pretty reasonable people across the board, so this is an easy attitude for me to have.