Shotgun + grenades is a perfectly fine build. You can either build it to wear heavy tungsten metal armor, light metal armor with armor sloping and nimble or make a more mobile build but less tanky with leather armor.
Most important is to start with at least 5 strength (to be able to use shotguns), 5 dexterity (for leading shot feat) and 9+ perception so you can grab fragmented chaos feat later, it also scales your guns skill which influences your damage and accuracy.