GD Freak, the easiest way to make a gun shot wound is to get a Woochie or latex appliance for a gun shot wound. First, make sure you're not allergic to latex! The Woochies are easy to apply, all you need to do is apply some spirit gum to your skin, let it get tacky, and stick the Woochie where you want it. Then apply some liquid latex to feather in the edges. Some stage blood dripped around the area will give it that 'just shot' look.
If you really want to go all out, apply a light coat of Castor Sealer to an appliance, let it dry and you can apply cream make-up to it. Purple, blue, green for bruises. Woochies come in every style from slit throats, face deformities, stakes in the flesh, witches noses and chins, etc. Check out The Costume Shop (where I work) website, since I'm not very computer saavy..... go to retail, extreme make-over, prosthetics, there's a whole page of pictures of different prosthetics to give you some ideas. They start at about $6.00, depending on how big they are and go up in price.
The Costume Shop - Boise, Idaho - Where the Fun Begins!