It's easy. I have done it at least 20 times.
You bid on the auction (or you just buy from a dealer). Then, you send payment directly to the seller. Then, at the same time, you contact a local FFL dealer and ask them to send their FFL directly to the seller. Once the seller receives the payment and the FFL, the seller then mails the gun to the FFL dealer (not you). Then, you go to the FFL dealer, pay him a fee for his service - anywhere from $15 to $50, and you pick-up your gun. When you pay the FFL dealer, you have to complete a form, just like you would when you buy a gun at a local gun shop.
It's kinda tedious, but if you find the gun that you want, especially at a great price, it's well worth it.
Zachary