Oh, I think Sherlock did his bit of gun-toting and killing. A couple of gruesome dog killings (Watson killing Carlo in Copper Beeches and Holmes pumping the Hound full of hot lead in the HotB's) and Holmes' target practice indoors, as mentioned in The Dying Detective and Musgrave Ritual come to mind:
"Holmes, in one of his queer humors, would sit in an arm-chair with his hairtrigger and a hundred Boxer cartridges, and proceed to adorn the opposite wall with a patriotic V.R. done in bullet-pocks..." -MUSG
HOWEVER, I agree that I do think of Watson's service revolver and Holmes' insistence that his partner be packin' is the more usual situation.