I've been reading around and cannot find a definite answer. When should I or when should i not apply direct pressure to a bullet wound?
I'll narrow it down to arms and legs.
Never unless the wound is actively bleeding heavily, which would most likely be an extremity wound since gunshot wounds to the torso tend to do most of their bleeding internally where you can't see it and only a surgeon can stop it. Head wounds where external bleeding is a major concern are rare.
With wounds to the torso you don't generally want to be applying pressure since that could cause the bullet to shift or move, which may cause more harm. For example, what if the bullet is lodged in an artery? If you apply pressure and dislodge that bullet it might unseal the artery and cause uncontrolled bleeding.