As for using nuclear artillery shells or missile warheads, you'd need to remove a LOT of fusing elements (for example, there is a mechanical device in an artillery shell that keeps it from arming until it has revolved a certain number of times. You CAN remove or disable components like this and still rig the bomb to detonate, but it isn't a really good idea--a less than perfectly skilled Induhvidual might wing up closing the fusing circuits completely with the thing still on his workbench. Do not pass go, do not collect 72 virgins.
The most likely route for using a nuke on us is, therefore, the "Suitcase from Allah." That however, has its own risks. First, covertly moving the bomb into place takes TIME--and time is your enemy with a suitcase nuke, because various critical components have pretty short half-lives, and tolerance for some of the daughter products is pretty low in a "fractional crit" device. Second, I can see Karachi, Pakistan vaporizing because Air Jihad lost Mohammed Omar's luggage :o)