You have to go to a corporate location. And the box should have NOTHING written on it. You should be able to use a FedEx box, although I have been told they would not take it that way at one location. They were wrong, but it didn't leave from that location as a result. I found one closer, where the employees know the rules.
I called the 800 number S&W provided with the instructions. Fedex came to my house within the hour!
and... plain brown box. You're obligated to tell the driver it contains a firearm.