Like the vamp said last year in Two to Go: If you’re going to use a gun on the Slayer, you better make sure you’re a good shot.
Darla used two guns in Angel, and she pointed it at Angel. He pointed out that it wouldn’t kill him, she pointed out that it would hurt like hell anyway.
As for what guns do to demons…well, I imagine it kills them. But Buffy doesn’t have the need for guns.