I haven't seen a scene with this much emotional breakdown before in my entire life. Doing what Homura did would be a lot harder than doing it on yourself...
Shooting a magical girl is pointless if what Kyubey said in ep. 6 is correct. It would only put even more strain on her soul gem, most likely resulting in her turning into a witch instantly. Shattering the soul gem, on the other hand... also, Madoka lifting her hand with the soul gem was pretty suggestive as to what she expects Homura to do.