Do what Indi said. Find where the object collision is between the wall and your bullet object, and place a plain textured with bullet hole there.
EDIT
Feelin generous
BulletObject=1
WallObject=2
BulletTex=3
If object Collision(1,2)>0
BullX=Object Position X(1)
BullY=Object Position Y(1)
BullZ=Object Position Z(1)
Make Object Plain 3,1 : `possibly set cull here
Texture Object 3,3
Position Object 3,BullX,BullY,BullZ
Endif
Somethin like that (wrote it quick, untested, wont work but it'll give ya good idea)
/end edit
RPGamer
Current Project: Eternal Destiny
Porting all files to my new computer