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Background check paperwork is done at an FFL dealer where a gun is shipped to. You will then need to go to the dealer to fill out the relevant paperwork. Only after getting a "proceed" response from the background check is a firearm is actually "transferred" to you. Paying for it and having it shipped to a dealer is unrelated to personally receiving/taking ownership which only occurs after your paperwork is approved.
Thomas, it is done at your local FFL when they contact you after reception of your firearm. If you have a concealed carry permit, the background check is waived. If not, the NICS Background check is usually completed in minutes. Any waiting periods particular to your State may also play a factor. Cheers and stay safe!
If you purchase a firearm you will have to choose Wich gunshop/FFL dealer it'll be shipped to. Once it's shipped and your local FFL dealer receives the firearm you will go to the FFL dealer to do the background check and pay whatever their transfer fee is, usually, 20-30 bucks. It's just like buying a firearm from a dealer, the firearms just bought from buds and shipped to the dealer you choose. Hope this helps.
Thomas, your FFL will submit your background check when you go to pick up your gun, after you have filled out the necessary paperwork. Have a great day!