I had a similar problem in one of my games. He didn't cheat, he wasn't a jerk, but he thought that his character was the best there was, and usually resorted to Guns as a solution. Inevitably, the other players would bail him out of a problem he'd started, and next session he'd be bragging about what a badass his character was.
I had a couple of options: Let him go on, or kill him. But I knew if I killed him he'd make a badass martial artist and then I'd really have a problem on my hands.
So I looked at what he thought were his combat monkey assets: his two-fisted gunslingin' abilities. I realised his weak spot.
So the next time he waded headlong into a fight, I just changed a few of the hit locations. Instead of hitting him in the guts, they hit his right arm. The other players weren't willing to sacrifice their hard-earned chips to help his arm out, so it was soon maimed. The Doc failed to fix it, and had to amputate his hand.
Later on, he went to Salt Lake City to get a replacement, but it cost him. He had to track down a harrowed scrapper for Dr. Gash. And when they realised that it was the guy's manitou who'd been doing the evil, not the poor scrapper himself, he let him go anyway. So in the end, he payed with more than just his hand; he payed with a little piece of his soul. I knew he felt guilty about that, but his character is always going to have that steel hand to remind him about the dangers of combat.
Don't kill PC's. They'll just roll a new character. Instead, take away what they value most, and offer it back to them - at a price.
Just some thoughts
Reuben McCallum