Mexico, Maybe we shouldn't go !

So I can travel down there with my gun,

No - just as there are laws in the US that say some states do not allow you to cross state lines with a gun the Mexican gov't says you cannot enter Mexico without a permit - but you can get a permit - might not be easy but it can be done.

Try getting on an airplane anywhere in the world with a gun. Try going to most countries in the world with a gun. You will be seeing more than 5 months behind bars.