One more thought. If you keep a bill of sale that identifies the buyer, and that buyer turns out to be a criminal, it will prove that you sold a gun to a criminal.
They still have to prove that you knew he was a criminal, had reason to believe he was a prohibited person, or intended to use the gun in a crime, but now you've connected the dots for them in terms of proving the gun went directly from your hands to his.
If you do NOT keep a bill of sale that identifies the buyer, now there is nothing tying you directly to the criminal. Maybe you sold him the gun, maybe you sold the gun to someone else and that person sold the gun to the criminal. Maybe you sold the gun to someone else and the criminal stole it from him and for whatever reason the buyer didn't report the theft. Basically, now there is no proof that the gun went directly from your hands to the hands of a criminal.
Be careful about keeping records that are not required by law. They might help you, but they could also hurt you. As the police say, anything you say can and will be held against you. The same applies to records. If you keep records you may find that their contents can be used against you.