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Yes, I'd like to show up at the Club with ammo in hand so after doing the transfer I can walk out on the range and start shooting. A little field strip first, of course to check for major missing parts, no slugs stuck in the barrel, etc., and hose everything down with lube. But why would I (you) not load the ammo before having the gun?
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Ok, yes, I get that. For me, that's what factory ammo is for (if you can get it) a small amount (one mag or cylinder usually does it) testing the "new" gun to ensure it works properly. IF something goes wrong on factory ammo, its a gun problem.
If it goes wrong with my handloads, it MIGHT be a gun problem. There's a difference.
I like having the gun on hand, as I create the loads, to be able to test chamber fit, feeding issues, sizing and crimping adjustments, etc.
I won't load a quantity of an untested load. Every time I've ever done it, it always seems to make more work, fixing what could have been avoided by testing a small batch first.
Real pain in the but to load up, say 300rnds and find out that gee, this gun wants .5gr more of Blasto powder to cycle reliably.
Or that your best bullet needs to be seated a tiny bit longer, or shorter to feed right. Or what looks like the right amount of crimp isn't...Things like that... Case gauges/ calipers, and all the other tools, careful measurement, all that, yes, sure. But to be certain, you need the gun, in hand.
This is, of course, only for new (to you) calibers. Think of it as part of the load development process. Real tough to develop a good load for a gun you don't have. If, on the other hand, its your 3rd .44 mag (for example) you already have developed loads, when the gun gets there, you just see if they need any tweaking to run right in the new beast...