They said that directly, and pointed at Presser as compelling that outcome.
Info for the discussion (and I fully support the individual right )---
Presser said : "Whether a State may not prohibit its citizens from keeping and bearing arms for other than militia purposes is a question that need not be considered, as the Illinois statute is aimed against the organizing , arming and drilling bodies of men as militia, ...."
Cruickshank said : "This is one of the amendments that has no other effect than to restrict the powers of the national government." (U.S. vs Cruickshank, 92 U.S. 542 (1875).
I once had the links to these case on another computer, but can't find them just now.
Also, seem to recall that the Supremes mentioned that since the defendents did not bring it up, Heller did not consider the states, only D. C.