Cash is King. If you are looking to buy something at the show, or even just pay the entry fee, you're going to need cash. Most show organizers don't accept credit cards and many dealers will charge a 3% fee if they accept cards at all. There are usually ATMs at the convention centers or dropped by local businesses looking to make a quick buck on attendees who didn't bring enough cash. You will pay for this convenience with high fees.
Note that bartering is typical, especially towards the end of the show when dealers are trying to avoid packing and hauling everything back to their shop. Keep in mind that trying to barter for a super-rare piece might be met with a quick "no," but it never hurts to ask.
Ways to get their attention. If you are like me, you won't look like the average person in the market for a mortar grenade fin or a demilitarized Sterling SMG. Many dealers will pay you little attention - after all, you are one of thousands of people who will walk by that day. If I want them to give me the educated sales pitch, I pull out my secret weapon: 4Sevens Preon 2 Flashlight. If you pull out a light and carefully start looking for serial numbers and scratches, they will know you mean (or feign) business. Want to earn extra points? Ask to pick up or touch the item first; many dealers loathe grubby hands all over their wares but are thrilled if you ask first. 
Go educated, bring reference. I often go to a show not looking for anything in particular. When I'm on the hunt for a specific item, I always plan ahead by doing research and printing reference. When shopping for my latest rifle, I created a cheat sheet with serial number ranges and a list of parts that identified a pre-war and a post-war model. Cell phones don't always work, especially in the woods of Knob Creek, Kentucky or the steel-framed convention centers so don't count on having google at hand to look something up.
Bring a good bag. I never head to a Star Wars convention or show without a good bag. Same goes for the machine gun shoots or museum visits. If you buy something, you'll need somewhere to put it; you'll be lucky if the dealer has a spare grocery bag to stash your purchase. For controlling R2, carrying my laptop, or visiting the shows I often carry my black messenger bag. It's beautifully simplistic with one huge main compartment and four smaller pouches around the sides. There is a small zipper pouch on the inside for added security. Stick with black if you like simplicity or sew on some patches from the 501st & Rebel Legion for added Star Wars flare. Pro Tip: Pack the bag lighter than you think you need to. Carrying a bag around all day gets heavy. I always carry some hand sanitizer and a few sheets of toilet paper - just in case. 
Good shoes are going to matter. Just like a convention dealer hall, gun shows don't offer many chances to sit. Based on a tip from travel writer Rick Steves, I have recently switched to Ecco shoes for travel and conventions. They are built to be rugged, comfortable, and last. Just be sure to wear them around a while to break them in. I've done shows with poor shoes before; it's not the end of the world, but your back will thank you later.
Expect a (quite interesting) crowd. Gun shows and machine gun shoots are just like conventions: Saturday's are always busy. You will see and maybe even bump into lots of people; from all backgrounds, countries, creeds, and colors. As you might expect from a room full of people who's livelihoods depend on gun legislation, most dealers are of a particular political leaning. No mater where you stand on the political spectrum, consider it part of the experience.
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