Well, I'll be a son of a gun, you all came up with a pretty good list.
Several months ago, I came up with a long, continuous and coherent paragraph incorporating most of these... but of course I never bothered to write it down.
What inspired me to do this was a column that appears in each issue of MHQ magazine -- Military History Quarterly (I highly recommend it). The column is called "Fighting Words" and it explores the origins and lexicography of many of these common gun-related sayings. Always fascinating reading.
By the way, "shot his wad" had its origins in battle, not in the bedroom. In the tense and fearful confusion of battle, it was not uncommon to fumble the priming pan/powder/wadding/ball sequence, resulting in an ineffectual shot. Just as common as shooting the wad (without the ball) was forgetting to remove the ramrod from the barrel before firing... which produced laughter from both sides.