You handled it fine.
Grace and finesse may work, depending on the exact situation.Emphasis on "may."
Just because its handy, let me use your example. Like I said, you did fine. I'm just exploring whether anotherapproach might yield evenmore results.
1. Agree to leave. Cheerfully. This will almost completely disarm most people. They're expecting an argument. They're expecting indignation.
2. Politely state your case, with even a cheerful tone, and plenty of "I know you're just doing your job."
MGR: "Would you please take the gun outside."
OCer: "Oh! Yes, of course. I'm sorry. Did I causea problem?" (There is a difference between a real apology--a concession of wrongdoing, and a conversational technique of fine manners.)
MGR: "Its scaring some customers."
OCer:"Good heavens. Well, I can understand your concern."
OCer: "I wonder if you could help me with a little problem?"
OCer: "Walk with me towards the door and I'll explain."
OCer: "You can see by this (helmet) that I'm riding a motorcycle. I can't really secure a firearm on a motorcycle. I've been a customer for years and really appreciate the great prices.I really need this widget. Do you think it would be a problem if I just paid for this on my way out?"
Then the door is open to a complimentary letter*, or coming back unarmed to clear up that you are a good guy, etc., etc. If you are good enough, you might even be able to salvage it right there on the spot.
*Letter Rough Concept Outline
I'd like to compliment you on your concern about the customers. In our world today it seems retail staff just don't care they way they used to.
Your store is always clean. The last time I had a return it was handled very smoothly with almost no wait.
I'm one of the good guys. I have: (whatever credibility points you have--years experience, license, training).
I would really appreciate the opportunity to continue shopping in your store. I am one of your target market/my family buys everything from you/eat there twice a month.
(Expand on various points to give it some add'l substance)
If this doesn't do it, or phone call in a similar approach, nothing will.
Unless of course you are sure that corporate already has no policy against OC. Then you can just talk to corporate or regional or whatever.