sometimes
They did at an amusement park recently. They found my loaded magazine with the wand, but I simply told them that I thought it was safer for me to keep the ammo with me and leave the gun unloaded in the car, rather than putting the magazine back in the same location as the gun (locked in my vehicle, which they said was permissible under their corporate policy). I gave them the choice, but told them what was the safest and most prudent course of action in MY OPINION, and they chose to follow my suggestion.
(of course they could have taken a different course of action-- they could have told me to remove my firearm from their property entirely and not come back until my vehicle was weapon-free. But they they would have lost all that money I spent that day (except for the parking fee I'd already paid)).
At the Cobb County courthouse a few years back I simply handed my speedloader full of .38 special hollowpoints to the deputy as I walked through the metal detector. At first he told me I would have to take them back out to my car, but again I convinced him that it was not the wisest move. However, he wouldn't let me walk around the courthouse with live ammo (why not? Did he think I would grab one firmly between my fingers and then jab the point of a ballpoint pen into the primer, thus shooting someone without using a gun?).
Instead, he kept my speedloader at the security checkpoint and I picked it up on my way out of the building.
The next time I visited the courthouse, I left the gun loaded in my glove box. Nobody stole it, nor the 5-foot diamondback rattlesnake that I left on the passenger's seat either. (Just Kidding)