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Even though I live in Canada I have to cross the Canadian customs in order to get back into the rest of Canada and that also means i have to go through the American customs in order to get back to where I live. Being able to join on the American side would avoid all the hassle of customs. Also the cost is a lot less ($30 vs &175 per year)
Call your provincial CFO's office for some advice, and you could ask the gun club you were thinking of joining in the US if they have Canadian members. I got the impression that all you need is some paper work from a US gun club "inviting" you to shoot with them to bring you firearm into the US. Perhaps they can help you figure it all out, also you could as at the boarder if they are of the procedures/paper work you'd have to have to accomplish this.
Update: I gave them a call and they told me that I would just have to provide a copy of my membership and then apply for an ATT to customs. So I guess that means I'm good to go thanks for the advice.