My goats are very gun shy. Even shooting a .22 rifle will spook them. If yours aren't gun shy, then I guess you are already most of the way to having them be hunting buddies. Personally, I would be careful shooting a loud gun very close to them, just because I wouldn't want to damage their ears. I think their ears or more sensitive than ours, and therefore more prone to damage from loud noises. I don't know that for sure, tho.
Another problem, at least with mine, is that a lot of the time they are out in front of me. I take them out to hike around and eat, and I shoot my bow at stumps, clods, cow pies, etc. Sometimes I have to wait until one of them moves out of the way before taking a shot.