I really hate it when that happens; although it has not yet been a problem in this particular game, I have experienced it numerous times elsewhere. I usually create two seperate savegame slots and overwrite them alternatively when saving so that I always have the last game if I mess up. Anyone remember that autosave-backup feature in Descent 2? That was a real lifesaver at times.
One thing I have noticed about SS2 itself though is that the "limited" quantities of ammo that all the reviews were complaining about are barely noticeable even on the hard difficulty; the rate at which I am collecting ammo far exceeds that at which I am expending it, since I use the lasier rapier on absolutely everything except protocol droids, turrets and the gas eggs. Although there are a lot of enemies, they aren't too bright so you almost always can lure them into a corner and pick them off without taking any damage in return. And unlike most games, there does not seem to be any limit on how much ammo of one type you can carry (or I have not reached it yet), so I don't have to worry about using up ammo when I find some that I cannot carry any more of, which is what happens to me in almost every other FPS game.
Also, one tactic I have found very useful is to create an inventory stockpile near the main elevator somewhere, which works well if you cannot carry some things but want to keep them in case you need them later. My position is right outside the engineering elevator, since there no guys respawning around there.
Lastly, there are some hybrids that throw frag grenades at you without using a launcher. Can you do the same thing?