This is the place to go. Dunno if there are many other places like it but these advertise in all the hotels. It's about 2 miles from the strip on Tropicana, just the other side of the airport, but go in any taxi and say you want to shoot guns and the'll take you here.
http://thegunstorelasvegas.com/
Here is a youtube video about it.
http://thegunstorelasvegas.com/
I fired 2 clips from a Glock 9mm then 2 clips of a MP5.
Was over in about 2 minutes and cost about £50 but well worth it.