Or they can do terrorism. Assassinations, sabotage of infraestructure. Tyrants live somewhere, and they send their children to school. Collaborators(which probably would be civil servants, police and the army) also need to sleep somewhere and have children and family. They could just be shot while going home, or killed by IEDs while patrolling. Infraestructure is much easier to destroy than to repair. Killing the power grid or destroying a bridge hurts the rebellion as much or more than it does the dictatorship, but I don't think they would care much.
Having guns is also a great detterent to creeping tyranny(well, at least when the guns owners care enough to do something). If every overreach was met with hundreds of thousands of angry people with guns on Washington, they would stop overreaching.
I agree that it is quite foolish that these people support things which actually work against them, but do not understimate what hundreds of thousands of angry gunmen could do. Even if they didn't win, they would ruin the US. And making tyranny less profitable than liberty is a good protection against it.