Hum... how about if I put it in a transparent plastic bag with a paper explaining what it is?
And what's the worst that could happen anyway? If they REALLY don't understand it, I guess they would just confiscate it?

I just found a FAQ on the internet that talks about that...
http://www.bestzapper.com/faq.htm
Here's what they say:
"Will they let me through airport security with a zapper? We always take our Auto-Zap zappers along on trips, and have never had a problem. You might want to put the unit in your checked bags, but I carry it on. "

I'm still thinking about it, but maybe I could just mail it to my friend like 1 week before I leave (I'm staying there for 1 month living at a friend's house)...