In general, most people do play with saves. It can be bad if you save yourself into an unwinnable scenario, but this only really happens if a player is saving a lot
When playing with self imposed condition like this it's important to understand the levels you are playing were not made with that condition in mind. If you end up having a hard time, it's not a fault of the level it's just a consequence of how you've decided to play the game. Tyson runners don't complain about lack of berserk packs, they know the life they chose
Something important to consider in your case is the ammo efficiency difference between SG and SSG. The SG fires7 pellets per shell, the SSG 20 pellets per two shells. You may find ammo balance to be tighter (among other complications) in levels where you would otherwise be using an SSG. If you're playing continuous this probably makes a lot less of a difference tho