Contacting the business is always a choice and a change in policy by the business to respect liberty is sometimes enacted.
The respective state subforums, here on OCDO, are a good place to start. A state level gunrights org may have a website with a "do not patronize" list and should be researched. Also, state level gun rights orgs may have more information, the business is already on a "do not patronize" list, or know of a currently underway effort to persuade that business to change policy.
Always attempt to rationally and reasonably approach the business in an attempt to enact a policy change. Many businesses enact a no gun policy out of ignorance or misinformation received from others, namely the anti-liberty folks.