Cash. Good ol' cash. With the exception of the auction lots I've won, I've bought all my guns with cash. On top of that, being in a state with an approved concealed carry license, my purchases have NEVER been checked through NCIS.
Speaking of auction houses, I can't find a specific MCC for an auction house. Either they use the code relative to the merchandise, 5xxx, which would mean a pure gun auction might use the firearm MCC, but then if they don't want to change for every type of auction they hold they might use generic "at risk" retail, 5999, or the ubiquitous, 8999, "everything else".