Hi Terry,
The choice between the Sole Prioprietorship(SP) and LLC is entirely up to you. As what Mark have mentioned, most businesses with only one owner would prefer electing SP while if you have partners, an LLC is needed. While you can still register for a single-member LLC, most starting businesses prefer SP since it is easier (set-up and tax-wise), less paperwork, and cheaper. However, the cons of SP would be no distinction between your personal assets and your business. On the other hand, registering an LLC would mean that you have limited liability for any debts or business obligations since you and your business would become two separate entities.
In your case, you are dealing with weapons - at some point you might be needing some protection against liabilities by getting insurance for buyers or something of that sort. Plus, they are collectibles so authenticity is also considered. For the type of product you want to venture on, setting up a proper liability shield should be top consideration. Just to be sure, try seeking for legal advise on these matters.