You aren't actually required to prove legality to anyone but an ATF agent. You can even tell the police that they'll have to bring an agent down if they want to see your stuff. It'd be stupid to do that though. It's just as easy as showing a copy of your stamp and using the opportunity to educate.

ETA: That's the way I understand it anyway, I haven't had an opportunity to put it to the test. Also, I believe Colorado law says possession of such items is illegal, and the defense is proof of your paper work.