up to episode four as well.
I guess having nob-lethal bullets is standard procedure when you're dealing with enemies who take over bodies. although most demons seem to go for direct possession rather than planting themselves inside.
maybe Yukio always has those bullets ready because he knows there will be a time he must 'shoot' Rin? like Danny and Nicolas in "Hot Fuzz".
edit: I only know realized that Gehena is short for "Geihenom", the hebrew word for hell. silly me.