Good idea. Boats sitting at both ends of the route (but still in international waters) where you can return your weapons and get back your deposit before entering a port.
No “gun exchange” is needed. The common practice is to buy an AK or an Enfield or whatever at a bazzaar in Yemen going up the Red Sea to Egypt. Then before arriving home in Australia a year or two later, you toss it overboard. Or not.
Not too many southbounds to the Red Sea: most folks circumnavigating the other way around head from Brazil or the Canaries to South Africa, then to the Indian Ocean. But I imagine guns can be picked up in the eastern Med too. Probably not like the $25 Kalashnikovs in Yemen though.