I believe you can purchase a long gun directly in NY STATE with no permit or anything. As long as you are legally allowed to posses one in your home state.
A pistol however will have to be shipped to an FFL in your home state and transferred there. But like Musketeer said, they most likely won't even let you touch it without you showing them a NYS pistol permit.
None of this applies in the city of course. There you pretty much can't buy a gun. I was in a shop in NYC wanting to look at a Mini-14 and they wouldn't even take it off the rack for me because I didn't have a permit.
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