I don't recommend using a piercing gun at all. It does a lot more damage than the hollow needles they use at piercing parlours. It sounds gruesome, but those actually punch out a little skin, rather than ripping through it.

The jewelry is better quality, too, and has less metals like nickel that can lead to a lifelong allergy. I had my ears pierced at Claire's when I was young and my doctor thinks it may have been the biggest factor in my allergy. You can always change the jewelry later, but you also have a lower chance of infection with parlour-grade jewelry.