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I belive that the shooting conversation should come up when you start talking about what you like to do in your spare time. As in "I like to go to the range and shoot a bit, find it very relaxing. Wanna come with some time?"

Keep it casual. You don't want to start right off with the Rambo attitude. That definitely scares most normal girls off. But, I also would not keep it a secret, and have her find out before you get an opportunity to tell her. Just take it one step at a time and don't make a big deal out of it.