If it is legal in the states involved, then you SHOULD be able to ship it to YOURSELF but not to anyone else. It isn't legal to ship it to yourself care of someone else (or vice versa) and let them open it. In other words, if the laws are really how I have read them and I didn't make a mistake, I could ship snakes from Texas to my Dad's house in Louisiana for some reason, but nobody but myself could ever open the box.
Just go to a local FFL and ask him to make sure you can ship to yourself and not involve the FFL.
Hope this helps,
KJ