I really wasn't enjoying the challenge, not being able to keep any weapon, but then I realized there's a few weapons that technically have infinite ammo, not requiring reloading, like the Void smg (also the ancient gun, and other weapons that recharge rather than reload).

Got my first win in it by going to purgatory to get the Void smg with a gunrunner build, hehe. Was also just fun to bypass the rules of the challenge, despite the mode being patched several times in the past to remove other exploits.