If you already have one just notify the old and new (Sheriff, City of St. Louis) issuing authority and go to the license office and change the address on your card and DL. If you need to apply for a new one, the Sheriff, City of St. Louis is where you apply and they will follow the same guidelines as any other municipality. As long as you have never plead guilty to or been convicted of a felony they have no discretion in the matter.
Greg
http://www.stlccw.com/