Who are you using?
If Chris/Jill loadout, then..yeah you need to use grenade/proximity or flash on them to stun them.

Otherwise...If you have stuffs like grenade launcher or magnum, use them, it's very effective.
Machine guns or sniper rifle are pretty effective too but you need to aim for their head which can be difficult at times when they aren't stunned.

What character you have unlocked so far anyway?
If you have Rebecca then the game is cake lol 

Ooh
Well, Rebecca is pretty good IMO, she's my main now because of her movement speed and recovery. (Others than she being so cute in nurse costume LOL)
Her loadout is pretty goddamned awesome lol, piercing machine gun that can shoot through wooden shields and hit multiple enemies, and her Explosive round grenade launcher is definitely the best among all the others (electrical/flash).

The only problem I have with claire's loadout is the matilda, rapid fire pistol -.-"
It's kind of hard to control lol

Her melee is okay and most importantly it's fast. For most cases, stun the ordinary majini in their leg, then run behind and do a Head Cracker, this melee has very high chances of critical so yeah.
Even if it did not kill it, just walk near to the majini head and melee.

And..Her finisher is insane. Stun gun deals 8000 damage LOL
Most bosses takes only once and they are dead already, in EX stages maybe twice.

Heh I'll be in the IRC chatroom.
Let me know if you want to try Duo lol