I used it for the entire game until recently, when I've been rocket launchering people to start an attack.
I keep one of each type of weapon, but I must say I rarely use the rocker launcher, maybe only with bosses so far. I try to use my sniper rifle as much as possible to kill from afar at first, then I finish everyone off with my incendiary gun, my explosive revolver, or the latest "terrible scattergun" that I got (66x12 in damage

I'm at level 28 now and I gotta say I'm amazed how incredibly huge the overall map is. It didn't feel that way at first, and it's obviously not as rich in content as other games with large world maps, like Fallout 3 or Far Cry 2 for example, but it is still very impressive. It's that much more loot you can collect and that many more enemies you can kill in order to gain experience points.
EDIT: it does contain quite a few spoilers, but for those like me who want to check out the size of the whole map, this can help.