Well, OK, it was some decades ago, and "packing heat" usually refers to handguns, not rifles, but here's the item:

"I grew up at a time when people were not afraid of people with firearms," said Scalia, noting that as a youth in New York City he was part of a rifle team at the military school he attended.

"I used to travel on the subway from Queens to Manhattan with a rifle," he said. "Could you imagine doing that today in New York City?"

I'd heard before about this very practice (riflery team members traveling the subways with rifles) before; there's nothing inherently shocking about this, especially to someone who has ridden on Israeli buses, but it's true that by today's standards it's pretty odd.