I have been shipping my purchases home via UPS for about 15 years and I’ve never had a problem on that front. I’ve had a couple of shows where UPS didn’t pick up the package for a day or two, but it always makes it to me eventually. I bring a box, a pre-paid label, packing tape, and some bubble wrap, and I package everything up Friday night after the auction. I leave it with the front desk on my way to the airport on Saturday morning and I schedule a pickup via the UPS website.
I usually bring a few plastic 20-round MTM cartridge boxes as well so I can bring back smaller cartridges in my luggage. I tape them shut with a few wraps of packing tape, and I’ve never had any problems. When I check my bag I let the agent know I have ammunition but no firearm, and they never seem to care.
Anything with a colored tip gets shipped in the UPS package. Tracers, incendiary, etc. aren’t allowed in checked luggage, and I imagine that if my bag does get inspected, they won’t take the time to consult Scranton’s color code guide to verify the projectile type :).
I believe that .50 BMG is the upper limit for ammunition in checked luggage. I always ship my .50s just to be on the safe side, plus the fact that they can eat up your 5 kg limit pretty quickly.