Once you get to Arcadia you can use the u-invent stations, which allow you to create various items from loot found when searching lockboxes, trashcans, dead bodies, safes, etc.
You can create one ammo type for all six weapons (not including the wrench of course). They are as follows:
Pistol: Antipersonal Rounds
Machine Gun: Armor-piercing Rounds
Shotgun: Exploding Buck
Grenade Launcher: Heat-seaking RPG
Chemical Thrower: Electric Gel
Cross Bow: Trap bolts