You don't even need to waste the rockets. Navarre doesn't last against a sniper rifle or pistol to the head a few times (if you've got ballistic armor at this point you can just stand there and fire away, though myself I used a gas grenade to make things a bit simpler first), and a few HE grenades can get Gunther out of your face before he barbecues it.
My problem with him was, the first time I faced off against him, I was sneaking around looking for him, and the whole conversation thing just prior to him attempting to bake you happened while I was on the railing of the stairs, about a foot above and two inches away from him.
