I once ran a Call of Cthulhu game in modern-day Britain. All of my players are British, and we realised a short way in that actually, weapons can get you into a lot of trouble in Britain. You'll probably be fine if you keep it hidden and don't draw attention to it, but really, that's quite difficult to do in these games...

(Of course, the fact that one player insisted on Roleplaying a complete lunatic did not help. Wandering into a hospital with a balaclava on and politely asking to be let into the morgue...)