They are not supposed to, and churches occasionally get in hot water when politics is preached from the pulpit. The NRA keeps its political arm separate from its non-profit section.
This is a blatant abuse of tax-exempt status. But I imagine most of the MSM will cheerlead it instead. Imagine the uproar from the MSM if Bush had attempted this.
I think as long as it's "issue advocacy" they can get away with almost anything. So long as they don't name Obama or any other specific candidate or politician, the IRS won't likely touch them.