I thought that if i load the model to WED and compile it as entity and load it again ...(not working)
No idea what you wanted to achieve with this. You normally realize bullet holes with decals. Have a look in the manual:
http://www.conitec.net/beta/ent_decal.htmThere is even a fully working example that places bullet holes on arbitrary surfaces.
For hitboxes: This is a very complicated thing. I remember some forum member making a completely working example some time ago. If you do a search on the forum for hit boxes you should be able to find it pretty fast.