Okay, I think I get your idea.
First off, I'd stop using the greater than/less than conditionals, they can quickly confuse you. Personally I'd use the clamp expression.
https://www.scirra.com/manual/126/system-expressions
So you have your weapon numbers 1-6, 1 is your lower and 6 is your upper, this means any number lower than 1 (-1,-2,-3 etc.) is going to register as 1, and any number higher than 6 (7,45, 197) is going to register as 6.
The set your mousewheel events, on up +1 to the Current Weapon, on down -1, simple enough.
To limit the selection to guns with ammo is a little trickier, I'd throw an event in there that checks your current ammo every time the Current Weapon value changes, if the value of ammo is 0, +1 to Current Weapon - add an or statement that does the same, but with the conditional of Current Weapon =6, in which -5.
This is off the top of my head, hope it helps.
EDIT//
Just realised this wont really work going down, ideally you'd want to listen for the mousewheel action (up or down) and then base your maths (plus or minus) on that, I'll have a bit of a think, maybe the wait function would help? <img src="{SMILIES_PATH}/icon_redface.gif" alt=":oops:" title="Embarrassed"> This may take a brighter mind than mine!