You don't have to reload the ammo-using guns. As long as your character has the appropriate ammo, you can shoot with them each turn. (Beware, the ammo is quite scarce, especially in the beginning, so you have to make good use of the melee weapons!)
Also, you can find some weapons (shocker, flamethrower) pretty early in the game which you can use infinite times but they have a "cooling off" period (usually 2-3 turns) between each use. They are so powerful, sometimes it feels like a cheat to use them (but use them nonetheless!). :)