I second the AHA course. Try and find a course taught by a paramedic. Ask specifically before class, preferably a week or so before, to go over gun shot wounds.
The last course I taught was for a gymnastics academy, they asked me a month in advance for specifically training for spinal injuries in a gym.
Gun shot wounds are pretty easy to take care of though.
Appendage: direct pressure with dressing, if it continues to bleed apply a tourniquet approximately 2" proximal to the wound (if a joint is 2"away, apply proximal to the joint.) Write down the time the tourniquet was put on.
Chest/neck wound: direct pressure with occlusive dressing. If you have the equipment and training, listen to lung sounds. If a tension pneumo or hemo thorax develops, apply a one way valve. If you want more information on this ask and I will get more in depth.
Abdomen: direct pressure with trauma or abdominal dressing. Hold pressure until advanced care.
All patients need a large bore iv with fluid wide open. Treat for shock (flat with or without legs slightly up), keep them warm, keep them calm, check vitals every few minutes [pulse rate, pulse quality, pulse rhythm, blood pressure, oximetry, lung sounds, cms in extremities: circulation, motion, sensory])
If bones are shattered, splints will need to be applied. Remember, there will be no pulse on extremities with a tourniquet on.
If patient goes into shock or the heart stops, start CPR immediately and get an aed defribrillating asap.
I have no experience with clotting agents, ie: quick clot...so if people have info on that, share it please.
Just a very quick summary. If I have more time I'll add more later.