When I played Dungeons and Dragons regularly I had a gnome paladin who was an engineer/alchemist who made himself a "Holy Avenger" revolver that he made magically imbued holy bullets that he could change out during battle. Inspired by Gene Starwind from outlaw star and the castor bullets. His name was sock.
*"Did you ever know that you're my heeeerrrrooooo..." plays during a montage of Sock's adventures*
...Anywho, the reason I bring this up is that even know he had sweet bullets they were balanced around not being armor penetrating, or if they were magical shields could block the armor pen ones. Just a thought about why guns may not be as powerful as we would think. I think they're more of a Blunderbuss or the primitive weapons of the American Civil War rather than the hightech machine guns we have now.