I have personal experience with hemostatic agents such as Quikclot and Celox. That powder that you refer to is a definite no-go. I would look for Quikclot Combat gauze which doesn't create the chemical burn hazards the old powder creates. It is a Z-folded gauze strip impregnated with the hemostatic agent to promote clotting.
I agree that direct pressure is critical, and tourniquets are a must have, but I think some of the answers missed the mark on a couple key areas. The Quikclot gauze is vital in the areas where your limbs meet the torso. Gunshots in these areas are too often fatal (especially groin) due to the inability to apply tourniquets and severe femoral hemorrhage. The trick is getting the hemostatic gauze to the site of the bleed, which involves vigorously stuffing the wound and actually inserting fingers to ensure coverage on the source of the bleed. Firm direct pressure is still required.
Take care not to stuff these into the thoracic cavity of the victim and you must evaluate whether or not you truly need to use them. Many simple gunshots require good old fashioned sterile gauze and direct pressure.