The object for the bullet is a fairly simple spline object. Here are the steps.
1.) Open up a new spline object. This can be done in the assembly room by dragging a spline object into the scene (drag the little cup into the main scene or drag the cup into the instance tray OR from the insert menu, select "spline object", select that object in the instance tray, then click on the little wrench at the top to switch to the modeling room).
2.) Now, in the modeling room, switch to the "front" view. Do this by selecting the "directors camera" in the corner of the main view window and select "front". This will change the camera view to be directly onto the drawing plane.
3.) Select the "draw oval" tool (click on the shape at the top which starts as a square until it changes to a circle). Then draw an oval in the center of drawing plane. It's a good idea to make the circle relatively small.