You mean the little holes bullets leave on impact in most games? This is done with 'decals'. If you google Unity3d+Decals you'll find quite some information on how to implement then. A good start would be this and this.

You can use decals, but if you can't understand it and want something simple, just create a plane prefab with the texture and do the same as the hitParticles (in fps tut) but instantiate the plane prefab instead. you may need to put this object in another empty object and increase the y pos, so it doesn't glitch in the wall. If you're shooting enemies and moving objects you can set the parent to the hit collider. Hope this helps :)