Several of the episodes (until the Boss battles) can be completed without firing a shot. Use your 
flashlight and dodge frequently. The checkpoints are the lamplights you can see in the distance. 
The Taken usually cannot follow you past those points. Run to them without using ammunition. 
Frequenly there will be a weapons cache near the lamps, allowing you to resupply and continue. 
Do not worry about carrying ammo over into each episode because you lose will your weapons at the
end of each one.