Once you unlock Sanctuary, you can store items (weapons, guns, shields, grenades, etc) you don't want in your bag but can't stand to part with in the Player Bank.
While you're at it, be sure to constantly sell weapons you no longer want. Mark guns you don't want as 'junk' so you when you sell them you can just select 'sell all junk.' Below are some tips on managing your inventory. If you're tired of sorting through loot you can always buy guns from the Marcus Munitions gun vending machine.
Not sure which ones are worth your time? Check out our side missions page for what to expect. To level up simply take on fights as they come and do a few side missions from time-to-time. It also means some of the guns you find may end up being just a level or 2 above you. What good is a gun if you can't use it? There's no shame in trying to get through the campaign quickly but if you avoid every fight and skip over every all the side missions you may end up a bit under-leveled, making it harder to get through the main campaign.
