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Give yourself an advantage by keeping the following tips in mind as you play.
Adapt to the situation at hand. Pyro is good for one-on-one fights because it has lasting impact on a single foe and possibly forces him to roll to extinguish the flames. When you're facing a group, Tesla clears a swath with ruthless efficiency.
Give yourself balance. Since you can carry two weapons at once, keep yourself ready for close combat and for those moments where it's better to attack from a distance, rather than relying on two weapons that are only useful in the same limited scenarios.
Magazine size matters. If you go with a large magazine, you'll have to spend longer reloading and that's time you can't spend shooting things. A smaller magazine requires more frequent reloads, but you'll spend less time being vulnerable and you can still drop a couple of guys with a magazine's worth of bullets, provided you're aiming properly.