After testing the "bullets through wall" thing in CS extensively, I can assure you that there is no real way to stop all weapon types from shooting through walls. A lot of it depends on the orientation of the wall in relation to the grid, the thickness and what type of projectile is hitting it. Doubling the wall (two wall's) will not always work, adding a seperate filler brush between the walls as a baffel will not always work and texture types may or may not work.
At the end of the day, if you are behind an office wall and the guy on the other side has an AK47... then you might as well start praying. Eventually, he will get you and that is real life!
A 7.62mm weapon on sustained and direct fire will eat through log's, sand bags and concrete as though they don't exist.
A .44 magnum round is designed to punch through engine blocks and kill the guy on the other side of the vehicle.
Either way you look at it, there is no real solution. You have to make do with the projectile physics that the HL people coded into the weapons and build accordingly.
It isn't a problem, just slightly annoying at times, but then again... so is life.