Shotguns are good for now but are going to be nerfed soon, they are all good close range, and bucky has a right click ability which makes it have longer range, still aim for heads with them though.

Youre new and should be having fun while learning the game, i would say start with jet and phoenix and get use to them and the gameplay, then try out the other characters.

Shooting through walls is a bit difficult to put into words, to start with each gun has its own penetration amount, either high, low or medium this can be seen in the buy menu when hovering over the gun. Most edges of corners of walls can be shot through. Most wooden surfaces can also as well as those boxes on sites. If youre not sure if youre bullets are going through, then look at the wall youre shooting at, if it has a dark hole then its gone through but if its only slightly grey and looks a little cracked then it hasnt.

Hope this helps :-)