While "executive action" is a rather broad term, the history of "executive orders" and gun control is quite narrow. The only executive order specifically addressing gun control that my research turn up was issued by Dwight Eisenhower on February 16, 1960:
Executive Order 10863--Authorizing the Attorney General to seize arms and munitions of war, and other articles, pursuant to section 1 of title VI of the act of June 15, 1917, as amended...Even this order did not establish a new executive power, but simply designated the attorney general as an authorized person under a previously existing law to seize arms or munitions being illegally imported or exported from the country. It seems likely that any executive action or order by President Obama would be in the same vein. On the other hand, for an administration whose previous "executive actions" included allowing illegal guns to end up in the hands of Mexican drug gangs (Fast and Furious,) the president may welcome this opportunity to show he can be tough on guns, even if it means that legal gun owners in the United States bear the brunt of the new sanctions.
Section 1. The Attorney General is hereby designated under section 1 of Title VI of the act of June 15, 1917, as amended by section 1 of the act of August 13, 1953, as a person duly authorized to seize and detain arms or munitions of war or other articles, and to seize and detain any vessel, vehicle, or aircraft containing such items or which has been, or is being, used in exporting or attempting to export such arms or munitions of war or other articles, whenever an attempt is made to export or ship from or take out of the United States such arms or munitions of war or other articles in violation of law, or whenever it is known, or there is probable cause to believe, that such arms or munitions of war or other articles are intended to be, or are being or have been, exported or removed from the United States in violation of law.