Well I wanted the gun before I got too far into the MQ, so what are my options besides killing him at Caesars.
If you've got the Black Widow perk, you can take him up to his room, have six with him, then kill him.
If you've got a high enough speech and take the right dialog options, you can get him up to his room (with or without guards) and kill him there. I think you might have needed to find Yes Man beforehand though, for that one.