This is a question that has poped up a lot lately(hmmm... very suspect). The retailed either have or know people that have a firearms business License and they import the weapons from overseas (I dont know any personally that bring weapons from the states.... none are made there, supplies from the asian area are generally cheaper)
But really, don't worry about it. Whats done is copleatly legal and magic to all that are not part of the process. These guys are putting a lot of time, effort, and risk into what they are doing.