Yes, just about an place where two surfaces meet to form an edge is a candidate for having a bevel, although depending on how the model will be seen many can be skipped. For example if your gun will mostly be seen in someone's hand, beveling the trigger parts may be overkill.
I made a short vid about building bevels into your cross sections before lathe or extrude. Look for "Think ahead":
http://www.brilliantisland.com/am/amtutorials.htm