I normally wear my gun in a holster even for Steel Challenge Matches. I shoot .22s and guns can be bagged. I haven't found a bag that I like so I'm making one myself.
Here it is. Made from 10 ounce Veg Tan Leather. I still need to add the handle, hardware and lock but it's almost done.
The inside is filled with foam to protect the gun and I'm going to cut it out for my magazines to fit in along with my McFadden Ultimate Clip Loader.