I'm actually looking at a guide and it's saying to use the basic set up that I entered the boss fight in since it ends up being stronger.
Basic guide to guns in RE4:
Red9 is the best handgun.
Striker is the best shotgun.
SAR is the best rifle.
Broken Butterfly is the best magnum.
Buy the Red9/Striker/SAR as soon as you're given the opportunity, and grab the free BB when you can. Don't bother buying/upgrading any guns other than those 4 except possibly the riot gun, 'cause it takes a fair while before you're allowed to buy the striker, and you might want a decent shotgun in that time.
You'll probably want to try out some of the other guns on subsequent playthoughs, but for your first time, just stick with those four, and you shouldn't go wrong.