Very common complaint. Some discussion we had before:
Centipedes could have an internal "ammo generating bodypart", automatically reloading its magazines.
Centipedes could require steel or rocks or other stuff to resupply this bodypart, causing them to eat into steel walls and steel deposits to resupply ammo. This'd be especially relevant for miniguns.
Centipedes could consume anything and the bodypart could be a fusion thing, so the headcanon is centis convert matter to plasma charges for their charge weapons by eating anything found on the battlefield
Centipedes could consume ammo off of downed pawns (as well as the pawns themselves)
Consuming items off the ground could result in small explosions within the centipede, so you could intentionally leave grenades and mortar shells around the place for them to internally destroy themselves
Very common complaint. Some discussion we had before: