Also, part of the show's premise is that he works for "The House" which has vast resources and can get him anything he needs, immediately.
So around Vegas he seems to carry a Nitron Sig, he's picked several guns off enemies (That Glock, and the stainless Sig) and when he had to go to LA, they jumped in a private jet and flew over. It's plausible that he picked up the XD in LA (along with a rifle that was explicitly procured for him in LA) rather than deal with guns in Cali's airports.
I'm trying to remember but I think when he was in Mexico, he didn't have (or didn't use) any gun, despite being shot at, which also makes sense.
No TV show is perfect, but I've actually been thinking The Player seems to do a better job than most with the gun stuff. I don't think I've heard them cock a Glock yet!
Edit: Also, the scene with Snipes above: That isn't The Player's character. That was nameless security guy #4 outside the door of some high ranking US gov. official.