That's right. Exactly how I did it. When I bought one from a guy in SC. he brought it to a FFL in Ga., and when I sold one to a guy in Alabama I brought it to a FFL in Al.Let's differentiate "sale" and "transfer."
You can certainly purchase (pay cash or trade or some combination) a handgun from an out of state seller, but to be 100% legal, the handgun must be shipped or carried to a receiving FFL holder in your home state for TRANSFER to you. You cannot take possession of the handgun FROM A SELLER in a state in which you are not a resident.
Long guns/receivers, etc., purchased or traded for between you and an out of state private seller must ALSO be shipped or carried to a receiving FFL in YOUR home state for TRANSFER to you. Purchases (and transfers) of long guns directly from FFLs outside your home state are usually good to go provided the firearm is legal in both the state in which you purchased it AND in your home state.