I've done a gun trade a couple of times.
I shipped though my FFL, even though it wasn't required, because he could mail it for about 15, instead of my UPSing it for 75.
You just have to trust the other guy. I made the agreement, then took the gun and a shipping box to my dealer. He logged my gun into his book, then logged it out to the other guy's dealer, packed it up and sent it. I presume the other guy did the same thing. You could, I suppose, wait until the other guy's gun shows up, before shipping yours, but that seems like a really tacky thing to do.