If the gun is stolen, it's returned to its original owner if you can prove it's you.
Old college room mate had his glock stolen from GA and used in a crime in NY. He reported it stolen, was notified when it was found, and received it back about 8 months later.
So yea, a bill of sale is always good. Just make sure you buy from the lawful owner
Not in Dekalb County.... they destroyed mine.