They do die, if you shoot the head off. Sometimes. I'm guessing the only way they can die is by bleeding to death, which goes a lot faster when you dismember them. But don't know if that's really the case. You can still kill them by just shooting them, but it takes a ton more ammo to do.

Remember that at least for the basic pistol thingie you can use the secondary fire to switch between it firing in a horizontal line or a vertical one. It's a whole lot easier to dismember them if you use this to shoot across the limbs instead of along them. I used this gun for most of the game actually, if you keep upgrading it it gets pretty powerful and can handle all except the biggest of the monsters you'll encounter.