I think you’re ok if you a) keep ‘em unloaded and locked in the trunk — don’t even carry any ammo, and b) don’t speed, drink, do bong hits on the interstate, etc. Scrape the Romney sticker off your car too.
Except that when you pass through Chicago — and you should plan to pass through Chicago, if at all possible — I’d have your significant other drive around downtown, while you hang out of the sun roof with the twelve-gauge shotgun in plain view, screaming “Hey Rahm! Want some of THIS???”
LOL!
I'm afraid only legal activity is illegal in Chicago. All illegal activity is perfectly legal. This means that if you do what you described you will be only seen as a typical local gangbanger, a daily occurrence.