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Radio Frequency Fingerprinting (RFF) techniques promise to authenticate wireless devices at the physical layer based on inherent hardware imperfections introduced during manufacturing. Such RF transmitter imperfections are reflected into over-the-air signals, allowing receivers to accurately identify the RF transmitting source. Recent advances in Machine Learning, particularly in Deep Learning (DL), have improved the ability of RFF systems to extract and learn complex features that make up the device-specific fingerprint. However, integrating DL techniques with RFF and operating the system in real-world scenarios presents numerous challenges. This article identifies and analyzes these challenges while considering the three reference phases of any DL-based RFF system: (i) data collection and preprocessing, (ii) training, and finally, (iii) deployment. Our investigation points out the current open problems that prevent real deployment of RFF while discussing promising future directions, thus paving the way for further research in the area.