Fortunately, my home state (Indiana) does not list churches as being one of the locations that are off limits. However, the part of Indiana in which I live (Gary, located in the Northwest corner of the state) is vehemently anti-gun, and I'm certain that asking my pastor would almost certainly result in him saying no. So yes, I do it (legally, I might add), and until there is a sign posted or someone announces that it is not allowed, I'll continue doing it, and no one will ever know about it.
Any society that would give up a little liberty to gain a little security will deserve neither and lose both.
Benjamin Franklin