It’s never occurred to him, no.
Compared to most of the borrowers/littles that live in the walls, he and Walt tend to stand out with the weapons they have. A lot will try to stay out of the way if there are rats around, and hate the possibility of drawing attention. Sam and Walt would confront rats and take them on with a knife and razor without a problem.
They tend to be more ‘foragers’ than ‘hunters’ when it comes to getting food, and though Sam’s used a gun before in his past before shrinking, he never considered the alternative of a bow and arrow.
If he had one, it would be a better weapon to threaten with since he could aim for someone’s eye. It doesn’t matter that he’s small if he’s going to blind you.