How to select a weapon?

You can go into your Pip-Boy and unequip the weapon manually, but probably the best way to handle this situation is to favorite a melee weapon (in the prologue, you normally find a Security Baton well before you find the first pistol) and simply press its hotkey when you don't want to waste ammo.

Like gatherer818 said, you can equip and unequip a weapon manually in your Pip-Boy, or assign it as a favorite.

However, there is another, faster way to address your concern of not wasting ammo on pathetic enemies like radroaches. You can melee using your gun, which the game refers to as "bashing". Just press the power attack/grenade button (right bumper on Xbox) and you'll melee. There's even a perk to improve this damage, called Basher.