They absolutely do because the guns often contain blanks. There was a great episode of What Went Wrong about this and about safety on set. There has been a huge push towards realism in gunfights, meaning blanks over sound effects and visual effects. Firing a gun obviously is far more dangerous than not firing a gun. https://podcasts.apple.com/us/podcast/what-went-wrong/id1512847066?i=1000617518180