Gunslinger assistance?

Gunslinger Guide
my armor guide

And now that I have an Ultra Magnus, should I go for Iron Slug or Callahan? Because Callahan apparently is very good against Wolvers and Devilites.

If you have Winter Grave and you're into gunslinging with magnuses, then you might as well go for Callahan rather than Iron Slug. (For more casual, general players, I might recommend Iron Slug over Callahan+Winter.)

Also, where do I go to grind for level 4 crystals? And where do I go to grind for level 5 Orbs/Crystals? Do keep in mind I still didn't finish the quest related to having all five star equipment(As my shield is still on level 6, plus the lack of Eternal orbs).

How to find fire crystals and orbs is a frequently asked question. My prepared answer, including links to data sets, is here.

Well, I was planning to get Callahan to give me the needed coverage; piercing as Blitz Needle is not very effective on T3(Aside from the trojan thing and that boss). And its charged shot also will help me a lot against silkwings as they usually hide behind huge groups, and the stun is a bonus. But WHEN I end up getting extra slots, I probably will go with Callahan/Winter/Shock Alchemer at most of situations. Which also does raise more quests, if I get some trinkets, should they be focused on attack speed or CDR?

As for the link you showed, they don't give information about T4 crystals, only T5 crystals.

Iron Slug is phenomenal for its charge attack. Callahan and Winter Grave are more useful for their standard attack, which flinches or knocks down enemies before they can dodge (they often will dodge charge projectiles). Blitz Needle is fairly effective in all of tier 3, but that comes from frequent usage and more in-your-face standard attacks, or charge attacks from a distance for coverage (getting close and personal with the charge will deal the most damage, but that won't really matter if they sidestep you before you release the attack).

The antigua is not a great gun for gunner necessarily. It's better as a swordie sidearm.

You can keep the strike needle at level 10, work on probably snagging an iron slug for general use. That can be your primary weapon for taking care of most enemies since the charge is devastating. If you're up against pierce weak enemies, taking the strike needle and peppering them from afar can work, but gunning pierce weak enemies is one of the harder tasks in this game in general so it's more about adapting and overcoming at your own pace.

That's the thing about having Callahan, use it to shoot down Wolvers and Devilites, and those horrible bats. Obviously Needle isn't that effective, and I am saying it from my own experience, as it forces you to stand still, and doing that against Devilites is a death sentences as they are usually in big groups. So forcing them down with each bullet can be handy. Most of cases Blitz only proved useful at very close range which obviously is a dangerous game and very situational when compared to other weapons, plus the issue of not being to shoot down Silkwing hiding between a cluster of enemies.

Winter proved to be very useful for causing neutral damage on mechanics, instantly taking them down if the charged shot hits well, or at least freezing them and giving me more time to prepare another shot, besides making puppet turrets flinch on each shot. As for Antigua, it is just there, really...I was following the wiki Gunslinger guide, but I had been mostly giving priority to shock alch, and those other two weapons. So it is this issue, if Iron Slug can handle those dodgy enemies better than Callahan or not. And the charged shot piercing through enemies is great to shoot Silkwings behind like Lumbers or those darn bats. I still have no idea how to counter a large group of those crazy bats as their attacks are very fast and even if you dash away, they dash forward to proceed with their attack.

Edit: Also the wiki is very unclear about this, does Iron Slug stun or doesn't it?

Callahan and Iron Slug are the same except for their damage type so it won't be any easier or harder. The Iron Slug does do stun, it just doesn't say that in its description.

The greavers (bats) can be interrupted easily so it's easier to hit them with a fast attack, you can use the blitz's regular shot or just carry a flourish/dbb (not sure how strict of a gunner you want to be)

Oh I forgot about Riftlocker, that should be good too since it fires decently fast.

Actually it will be easier or harder depending of the case exactly due to the fact they have different damage type. Callahan is piercing, which makes it effective against Wolvers and Devilites. And Iron Slug from the looks of it can be used as a main gun as nothing will resist against it. But effective damage can be pretty important, as even with charged shots from Mega Magnus I take a while to take down zombies, and if I switch to the electric alch, I can kill them fast.