Teddy Roosevelt fought in Cuba with a volunteer regiment that brought two privately-owned M1895 Browning machine guns. And a "dynamite gun". I'm not sure what that is, but I'm sure that I have a right to own one.
http://www.bartleby.com/51/1.html
"Each man carried three days' field rations and a hundred rounds of ammunition. Our regiment had accumulated two rapid-fire Colt automatic guns, the gift of Stevens, Kane, Tiffany, and one or two others of the New York men, and also a dynamite gun, under the immediate charge of Sergeant Borrowe...Almost the only Rough Riders who had a chance to do much firing were the men with the Colt automatic guns, and the twenty picked sharp-shooters, who were placed in the newly dug little fort out at the extreme front. Parker had a splendid time with the Gatlings and the Colts. With these machine guns he completely silenced the battery in front of us. This battery had caused us a good deal of trouble at first, as we could not place it. It was immediately in front of the hospital, from which many Red Cross flags were flying, one of them floating just above this battery, from where we looked at it. In consequence, for some time, we did not know it was a hostile battery at all, as, like all the other Spanish batteries, it was using smokeless powder. It was only by the aid of powerful glasses that we finally discovered its real nature. The Gatlings and Colts then actually put it out of action, silencing the big guns and the two field-pieces. Furthermore, the machine guns and our sharp-shooters together did good work in supplementing the effects of the dynamite gun; for when a shell from the latter struck near a Spanish trench, or a building in which there were Spanish troops, the shock was seemingly so great that the Spaniards almost always showed themselves, and gave our men a chance to do some execution."
But naw, I'm sure they were supposed to die in Cuba firing muskets.