It's best not to bite off more then you can chew when you're exploring into new areas. The best way to get yourself killed is to run headlong into a new room before fully clearing out the one you're in, alerting even more guards and thus getting surrounded. Each level has enough ammo and health pickups that you're able to do them with just the starting pistol and 8 bullets but it always pays to be conservative with your ammunition, if only so you can unleash a volley of devastating chaingun fire when you need to..