American Shooters shooting range insurance policy requires that firearms be unloaded when not shooting. So when you walk in, it's recommended that if you are OC, the firearm is in the safety position to avoid silly questions.
Also, they may want to check your ammo if you bring your own just to make sure it complies with their policy. It's not a "clean" range so to speak so you can shoot regular lead rounds ("The Gun Store" requires you shoot so-called clean ammo.) but they do have some restrictions. Most especially if you're shooting off a rifle.
As for the holster, pick up a Serpa Level 2 duty holster. These are the best I've found. Not only does it have a retention clip, but is also a full size holster fully covering the firearm so your expensive rear sights are protected if you bump into something. Plus the holster can be tensioned to match the size of your belt. So you can wear it securely on different belts different days.
I OC here in Vegas and Henderson all the time. Yesterday at TGI Fridays (Sunset & Green Valley), last Monday at Wachovia Bank (Sunset & Stephanie). Not a single word, except from the people I was with for happy hour yesterday at Fridays. Had 2 beers after work and then went home. Went to PTs Pub (Spring Mountain & Arville) last night with my wife and again, not a single word. And no, I wasn't drinking (no alcohol, only orange juice) at PTs, only dumping my hard earned money into the paper shredder known as video keno :-) I don't mind having a beer or two with my firearm, but I don't feel comfortable with any more than that.
Again today at the same PTs for a burger with no problem, but at a busy Bank of America (Twain & Jones) 5 minutes before closing, the armed security guard eyed me the whole time. Bad guys don't wait in line and make DEPOSITS!