Erick,
Stop here first :
http://www.subguns.com/laws/iif1.htm
It gives you the best overview of the legalities involved in owning full auto weapons, including what states allow what (SMGs, suppressors, short barrelled shotguns, etc.).
If you have the latitude to live where you want, then there's no reason - funds excluded - that you can't own full auto.
Cost : NFA weapons are typically expensive - especially full auto weapons, because the government has limited the number available to civilians, and those guns have increased in value over the years. Here's good place to get a feel for what costs what :
http://subguns.biggerhammer.net/nfaad.cgi
Where to shoot : private property, ranges that permit full auto, wide open spaces where the buffalo roam. Regulations I've seen regarding shooting regular guns also apply to MGs, of course. When you actually get involved in the Class 3 community where you live, you'll find the places you can shoot legally, where MG shoots are held, etc.
Good luck - it's a blast
