If you carry a gun, it is a pretty good idea to carry some first-aid gear that will help you stop bleeding. A tourniquet (for arterial wounds to the extremities) and a compress dressing (for wounds to other areas) will go a long way toward saving a life in the event of trauma. These are two basic items that can help to stop bleeding before emergency personnel arrive. A neoprene wrap around your ankle, such as this one from Galco, gives you a comfortable way to carry lightweight first-aid gear without taking up space on your belt or in your pockets.
Get More Training
As always, get the training you need before you attempt to use any first-aid or emergency gear. Get training. Practice. Get more training. You know the drill.