To be honest, the only real answer is "it's up to you as GM, and to your group". That said, here are my thoughts on it, based on a combination of "What I think ought to work" and game balance.
* It's reasonable for a true believer to make holy water. However, holy water should probably only work if the 'attack' largely consists of holy water. By this, I mean that if you try to coat a weapon with it -- either a sword or a bullet -- it won't work (or at least won't work fully), whereas a water balloon or a paint-ball gun might well work. Holy water works on faith, and splashing it on a sword shows that your faith is really in the sword, not the water. And in any case, the water would be too dilute, even were this not the case.
* Even if by means other than dipping in holy water, I think it would not be a good idea to allow wholesale blessing of arsenals of weaponry, for balance reasons. Your idea of engraving each bullet individually is a start, but even if you allowed that you need to put some sort of limit on it.
* One possibility is to modify the enchanted item system to represent this -- that is, allow the True Believer to buy "Refinements" for his faith powers, granting "Blessed Item" slots. Use Conviction instead of Lore for the base strength. A blessed bullet might take the form of a 'maneuver' placing the aspect 'Blessed' on the attack. This aspect wouldn't get a free tag to get a +2 on the attack, but instead would count as a free invoke for effect: ie, the attack counts as holy damage. So a character with a five Conviction could use a single slot to make three Blessed Bullets (per session), based on using three points of 'strength' for the maneuver and converting the other two strength to additional uses. (I think I'm doing that correctly.) Using all four slots granted by a level of Refinement (costing -1 refresh) would allow for twelve bullets to be blessed per session.
* Another possibility might involve using a stunt like Blessed Words. You might allow the character to use that stunt (or a new stunt specifically for this purpose) to bless a weapon, giving it the aspect "Blessed" for a scene or two. As above, this would give a single free invoke to cause an attack to inflict holy damage (no bonus, though). In addition, the wielder could spend Fate to invoke it further.
* If you're still of the opinion that this gives too much away, you might say that the creating of blessed items falls into the realm of a Sponsored Magic power, which would allow the character to use Prayers (ie, Holy Thaumaturgy) to do stuff, including blessings of fvarious sorts.
Anything in here sound workable?