Nathaniel Sheetz knows he and other Penn State University students are protected by armed campus police. Just the same, he'd like to start bringing his own gun to class. If someone were to pull out a weapon and start shooting, he argues, he and his classmates could be dead in seconds before those officers arrive. Mr. Sheetz belongs to a group whose controversial message is getting more attention after a string of school shootings this month, including one at Northern Illinois University in which a gunman killed five people and wounded 16 in a lecture hall before taking his own...