What do you do about running out of ammo in Borderlands?
Solution 1:
I haven't played the game in a while, but if I remember correctly, enemies drop ammo fairly frequently. If it's not the right kind of ammo for the gun you're using, consider switching up guns. I remember I carried guns of 3 or 4 different classes with me at all times. You may not be as proficient with all of them, but at least you have something to use.
Use the guns you're worse with or that the enemies are dropping ammo for against the grunt enemies, and save the really powerful guns for the boss.
Solution 2:
It sounds like it's time for an ammo SDU purchase. Although not as cost effective as waiting for the large SDUs to become available, buying one now can help ensure that you'll have enough ammo when you need it. As Brisbe said, ammo regen is your friend. Find a class mod, skill, or even some weapons or shields with good ammo regen, and you'll never have to pick up ammo again, let alone buy it.
Solution 3:
Class mods can also be your friend--depending on the character you choose, there should be at least one class mod that can give you ammo regen over time. Roland (the soldier) is the best at this, but most characters have at least one ability they can use to get more ammo. This could help you here, and overall.
Solution 4:
I haven't advanced very far yet, but up to this point, I've always kept the best weapon I could find for each class around. I'm also using them fairly evenly, so my proficiency in all classes is about the same.
That way, my 'useful' ammo is the sum of the ammo I'm carrying around for all classes. Together with the ammo drops from monsters, running out of ammo is pretty much impossible. In fact, they drop so much that I'm usually full in all but the weapon I'm currently using.
And then there's the ammo upgrades (so far, I know about two levels of upgrades, I guess there are more), but I assume you know about and have these -- at least for your favorite weapon.