It looks really great, make more! :D
And to address the hex vs octa debate, here I think octagonal looks better, although I suggest you try to incorporate hexagons and octagons into your next gun. The way I see it, the most important cylinders should be octagons while the less important ones should be hexagons. Since this gun really only has the barrel and the stock, there's no need to use the lower detail hexagons.
Also, it doesn't matter that MS3D uses triangles, because so does blockland, so if you use blender (with quads or Ngons) you have to convert to triangles anyway, so it's not like it's actually any higher poly as a result of being in milkshape.
In addition, I recommend you do fix the gap, it doesn't look like I detail so much as it looks like the mesh isn't one complete unit.