When you cross the border, two things happen simultaneously. You are importing into Canada and exporting from the US. Two different countries, two sets of laws, you need to comply with both. Canada doesn't care what you IMPORT, but the US certainly cares what you EXPORT.
There ARE random exit checks run by US Customs & Border Patrol and Homeland Security. They specifically look for firearms and components, along with drugs, etc.
WHEN you get caught by a US exit check, you are a smuggler, thereby a felon in the US. Minimum penalties have been confiscation of all purchases, plus a ban on entering the US from a minimum of 5 years, up to life. They can also confiscate your vehicle and detain you if they want.
A ban on entering the US also puts you on the no-fly list which means you can't overfly US airspace, even if you don't land. Going to Mexico or the Caribbean becomes expensive when you have to fly via Europe.
The number of US border security staff (not including major increses in Homeland Security and ATF) has doubled from 2004 to 2010, and has increased again the last 2 years.
Also, US CBP, ATF, and Homeland Security, don't control export of arms, ammunition and components so don't quote or ask them questions. The US State Department controls exports under ITAR, so if you have questions they are the ONLY ones you ask questions. Commerce Department handles export of shotguns.
Is it worth it to save $20? Or even $100?