The game keeps 1 save for every section of every chapter. If you level up in chapter 2, and then go to an earlier point in the game, it actually loads an earlier save, so your levels will not carry over. The only way to carry over levels or items from one point in the game to a previous one is to play through again on the super-hard difficulty so that you can use New Game+.

The Model Gun can not be upgraded for quite a while. Just keep it, and it will show up as an upgradeable item about halfway to two-thirds of the way through the game.

Memory Capsules are the one thing that is saved from every playthrough. It doesn't matter when you get one. As soon as you shoot a memory capsule, it saves to your memory card and you never half to get it again.