If you want to keep track of things... you could use those little round bits and stick them on the guns or minifig bases. Pop one off each time they fire, and when they're out time to reload.
Maybe only practical for the big guns like rockets or zero-point black hole manipulation and creaiton rays.
Or do a Necromunda-style jam roll... on a roll of 1, the weapon jams. Roll another die: on a 1 again it's out of ammo all game, anything else is simply out of ammo for a turn while the minifig reloads.
Or just ignore crunchy bits like ammo.
