I've only played Weird Wars in a Convention game with a pre-gen character (while I ran the table for my store, it was in the room behind me)...
Definitely a high Guts skill. Marksman (a seasoned level Edge) may not be as advantageous as it looks, since you will want mobility in this setting (most 'things' seemed to run at you). At least one character needs decent Knowledge skills. Taunt and Intim at d6 so you can take Strong Willed could work well, you shake the creature then your buddies have an easier time wounding it - assuing it doesn't have Hardy (the +2 helps for resisting as well).
Make sure you are aware of combat tricks and other tips - cover, crouching, double tap, those situational modifiers can save your bacon...
Other than that more info on the actual setting (European/Pacific theater, raid/espionage/grunts) could give us a better idea (I'm assuming ground forces in my suggestions above, but I think they had info for air and naval units in the book as well).