Have a run through the following thread:
http://p8ntballer-forums.com/threads/transporting-kit-when-playing-abroad.44223/
A couple of items of note:
There is mixed opinion on the words 'marker' and 'gun'
You obviously don't want to be shouting out that you've got a gun, but if you declare that you have a marker in your bag very few people will have any idea what you are talking about. Guns are not illegal, they can be transported and paintball guns do not require a firearms certificate.
There is mixed advice on whether to declare it or not. If you don't and the airlines policy does not allow carriage then you're asking for problems if it is checked. Don't be that person who just phones the airline, but do look into their terms & policies online (preferably before you buy your ticket)
Allow yourself time - don't turn up 10 minutes before check in closes and wonder why you're having problems getting onto the plane in time.
A lot of people advise putting a paintball magazine in your bag, this is harder these days as they no longer exist. The idea is so that the first thing they see when opening the bag is a cover photo of someone playing speedball, this isn't essential but you could still print off part of an online magazine.
Cylinders - This will also depend on if you are travelling between countries. At the very least the regulator has to be removed, and to be able to use a cylinder elsewhere it must be marked with the national standards. e.g. Pi for here, DOT for the US. It is likely to be easier to not take your cylinder, borrow or buy one when abroad, a steel/aluminium 3000psi cylinder is cheap and you could consider it disposable compared to the costs & convenience of travel. You could make another player very happy giving a once used cylinder away to a new/young player.
Locking your bags - Use an approved air travel lock. These secure your bag but can be opened by customs using a specific tool, which means they don't break in if they want to check your bags contents.
(Dishonest handlers could also open the lock, but they could also break into your bag or seperate the zip if they fancied)
If you're travelling abroad and considering buying a marker to bring back then you are importing goods. If in the EU this would not be an issue, if outside of the EU you ought to declare and may be liable for import VAT.