I do it in Florida. (if you're in the US) For each state you do it in, you need to check the laws on licenses and such, especially for being armed in that state and working as a EP. A lot of people work in the gray when they don't have a license for that state, but you're better off getting the license (if needed) for the state you plan to work in in case something went down. I worked with a guy that had 6 state licenses because he needed them for a up coming gig. Some of the states he was able to the license online, but most of them, he had to go to that state, do the requirements, which usually means schooling for a week or two. Also, if you plan to travel between states, it's best to get certain things like, like the TSA Pre-Check to make moving through the airport faster.
https://www.tsa.gov/precheck
If you plan to do it in other countries, you need to find out what the laws are in that country (unless you work in the gray and then who knows what would happen in the country you got caught). It's best to get these.
Global Entry Card (GEC)
APEC Business Travel Card (Asia-Pacific Economic Cooperation)
https://www.cbp.gov/travel/trusted-traveler-programs/global-entry/how-apply
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AAA International Drivers License
https://www.aaa.com/vacation/idpf.html
A lot of countries except the SIA CNAPS license
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Here is a site where you can find state licenses if you're in the US and work
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If I knew more about what your plans are and where you live, I could give you more info.