Save the game before fighting a Big Daddy or other difficult enemies. If you do 
not like the results (used too much health, wasted too much ammunition, etc.), 
you can simply reload your saved game and try again until you are satisfied.
After becoming a Big Daddy, create a new saved game. At this point, you will be 
close to the end of the game. If you missed something, you can go to the 
Bathysphere and explore Rapture again; you are also a Big Daddy now so the 
Splicers will not harm you, security cameras will not set off alarms, etc.