One never knows how one will react in these situations, but if I was able to think fast, I'd like it to go something like this:
Freaked woman: "Is that loaded?"
OCer: "That? Yes! -- I was wondering...Can you tell me where I would find the scarves??"
Freaked woman: "Can I ask you to leave your gun at the front desk?"
OCer: "Now you don't really think that would be a good idea, do you? Leaving a loaded gun in a desk where I child could get it? No, I prefer to have it safely holstered and ready for self defense. Also, what if a bad guy came in to rob the place? By the time I got back to the front desk to retrieve it, we'd all be dead! Naa.... I think it's gonna be safest right here. But anyway, back to the scarves -- I'm looking for a scarf that is red and that will go with this coat. Can you help me with that, Sweety?"
Freaked woman: "I'm afraid I'm going to have to ask you to leave."
EDIT: Maybe you should skip this manager part, depending on the laws of your state: OCer: "M'am, I afraid I'm going to need to speak with the manager of the store."
{If the woman claims to be the manager and it seems believable, or she gets the manager and they aren't agreeable either, then...}
OCer: "I'm really disappointed that you are willing to discriminate against a customer based solely on their choice to carry a defensive tool. I do have to let you know that me and my money have been coming here a long time and I will unfortunately not be returning. Good day to you..."