I don't recall US Customs ever asking specifically about a gun. They ask a lot of questions - like why were you there, how long, do you have any contraband, anything to declare, etc. I guess they aren't too worried about a gun if the Canadians let you in with it - and they will let you bring one in if you do the right paperwork and have the right reasons. One of my co-workers used to do competitive shooting and would take handguns into BC for meets. Funny thing was he was less restricted in Canada than a Canadian with a handgun.
Whatever you do, if you do have a gun and hit the border, be sure to declare it. If you don't and they find it, you're charged with International Arms Smuggling. This happened to one of my 4-wheeling buddies when he forgot about the pistol he had in the console of his rig. Had he declared it, Canadian Customs would have just shipped his pistol to his County Sheriff and he could have picked it up when he got home. Luckily, he just had to pay a $500 (CDN) fine, surrender his gun and it's high capacity magazines and was released... but he can never go back to Canada.