Would a build like this be better?
http://underrail.info.tm/build/?AQMGAwMGCgkPDwAAAAAADw8AAA8AAAAPAA8PAAAAJ0g
Maybe I should be more precise in terms of what kind of build I want to play (if possible):
Major:
Offensive psy
Craft & Great Speech
Lock/Hack
Secondary
Pistol (or distance weapon)
Grenade
Does that make sense? And again, sorry if my build sucks. This game is hard (I suffered a lot during my 1st run) so that's why I need useful feedback from all you.
Thanks ! 
Well, there is a lot to say on your build, but actually you lack some knowledge about the game to be proefficient with your build. Let's try to give you the good advices.
Packrathound at level 1 is pretty useless, even if I kinda like the trait on a STR 3 character, you won't need this trait so early.
Plus, Packrathound tend to be important for trappers builds that have to carry A LOT of heavy traps. You won't need it much since you have PSI that weight basicaly nothing to be efficient.
Clothier, also useless at level 1. Among all the crafting trait, maybe one of the less important. Yet it has its usefullness with a ninja build with very high stealth (To craft great bataclava and nice overcoat), since you don't have agility, it does not seem to be your goal here.
And, a crafting trait at level 1 is maybe not usefull as well, you won't be able to craft good things yet.
About Intel, 9 is not really proper. I would drop to 7.
At 7 you have all the crafting feats, so it should be enough.
About Constitution and Agility at 3.
In Underrail there is mainly three ways to avoid being killed.
1 - Having high constitution and strenght to have high armor and HP to resist damages.
2 - Having high agility to have great dodge and evasion to evade all attacks
3 - Having high agility to have stealth and very powerfull attacks to be able to oneshot people and take down enemies one by one.
3,5 - Having the ability to kite (NOT EASY TO DO SUCCESSFULLY) but it require some strange builds.
Sadly, you don't have any means to protect yourself and survive more than one turn against bad guys with let's say guns.
About the way you put yours stats. I think you first put your stats, and then check what feat you can take.
You should do otherwise. You look for the feats you want, and you check what stats you'll need. Then, you'll see how many stats points you have left to spare.
Before doing any builds, you should :
1 - Aim for a good way to deal damages, and put 10 in the relevant stat.
2 - Having a proper defense mechanism
3 - See what you have left and see if you can take any Lockpicking/Hacking/Crafting/Speech.
So ... Here are for the general advices.
***
Concerning your specific request.
The first solution is to forget about using a gun and do this :
http://underrail.info.tm/build/?AQMHBwMDCgcADwAAAAAPDw8AAAAPAAAPAA8PAAAAYSQSo to explain a bit :
7 Intelligence is enough you can get all the crafting feats. And you'll get hacking as well.
10 Will since it will be your main damage dealing with psi. Put every points there afterward, don't think to much first.
7 agility will give you Stealth and Defense
7 Dexterity will give you lockpicking and throwing.
(You can also put 8 in agility and 6 in dexterity, could work better)
Nimble - Really good as you'll aim for armor with low armor penalty (Less that 15) to have stealth and dodge/evasion, and you should be able to craft some good stuff out of Infused Siphoner Leather. (Look on the wiki what you can do as an armor with 15% armor penalty maximum.
Surestep - Personnal advice here. Depot B is a pain in the ass and it will help you a lot against acid. Plus, with caltrops that are unexpensive and easy to find, you can really cheese a lot of fights.
Just use caltrops to a. prepare a fight b. flee c. kill enemies on their patrol route (Work well on bots in Omega)
Don't forget you can throw the caltrops at your feet for 100% precision.
Then, what will you do past the first few levels.
You'll get psy empathy asap and get PSI to kill enemies.
And you'll have to :
1 - Craft a good energy shield
2 - Craft a good armor
3 - Craft / Find good grenades to be dangerous
Aim for feats like :
Grenadier (OP), Force User (Force field are OP, Kinetinetic Punch is very strong), Premeditation (OP as hell)
Don't forget, as well, with Force User, and Telekinetic Proxy + Telekinetic Punch you can usually one shot a lot of bad guys.
Used in combination with stealth, you can kill lonely guard in a compound to make the rest of the fight easy enough.
to have something like this at level 10
http://underrail.info.tm/build/?CgMHBwMDDAcAHgAAPDw8IzwAAAAAAAA3ADw8AAAAYSQrPxQqFmQAfter level 10, you can take all the crafting things you want and further take more PSI feats.
You could also, forget about Metathermics, and go with thought control, in order to get Locus of Control at level 14.
It's OP as well, but I think you could manage without it.
***
If you REALLY want to have a gun ... Well I have to think about a strange unusual build ... Challenge accepted ! I'll build something potent enough for normal.
EDIT :
Ok, I thought about it and I came with this build, however I'm not sure I would recommand it for anything else than easy !
http://underrail.info.tm/build/?GAgHBgMDDAZubgAAAAAAAAAAAHgAAAAAbm4AAAAAKxcmOSgUKlsRIUUWPjokIt has psy for main offense. Psychokinesis for stuns and high damage through force user. Premeditation because you'll need it. And well ... Thought Control and Locus of Control, because it's OP and you'll need everything OP to get through with that kind of build.
It has a pistol for initiative through gunslider and "backup" with execute and rapid fire. Yes there is no perception, I know and I don't care ... Since you'll use the pistol on stun or otherwise incapacited targets meaning they won't have any evasion (Plan to use Flashnades, Electrokinesis, Thought control, Kinetic Punch).
It has throwing and all the relevant grenade feats because well ... It won't be that easy so big ass grenades will help.
It has high strenght to be able to wear HEAVY armor and enough intelligence to make a good one.
It has enough agility to survive without armor at first (With stealth and even evasion/dodge) and have "Sprint" wich will be usefull once you'll have your heavy armor on.
I'm pretty sure you can get decent movement speed with the current agility, nimble and armor sloping with a supersteel armor.
And as a bonus, the big guy as relatively high initiative through Paranoia
Note that i'm pretty sure you can have a better build with new stuff from expedition that has to be shown yet, once confirmed i'll update accordingly the build.
