How are guns built?

Depends on the gun. In general, a design is created, and metal parts shaped, milled, cast, or machined. Barrels are bored, and except for shotguns, rifled. Wooden parts are shaped by machine to fit, and plastic parts are molded. Blued guns (sort of black, really) have the steel parts placed in a chemical bath that changes their color. The parts are assembled, and the gun test fired.