You need to send them out for longer time. By time you can skill your dwellers. Send them to the gym, casino etc. If their S.P.E.C.I.A.L values raise, you'll have a better chance to live longer. Just a hint, before sending a lvl 1 dweller out, put him in a fully equipped reactor or something. He will level up fast as you collect the energy.
If he gets a higher level he will have more life. If he had level 10 or 20 it's okay for his first run in the badlands.
Let him go with the maximum of stimpacks (25) and around 14-15 rad-away.
Don't panic, if something is left over at the end, it will be added back to your stock.
Give him your best gun and your best outfit. If he survive 18/19 hours you'll have a good chance for getting better guns. My current dweller is on it's tour for around 38 hours and he has a machine pistol, a grenade launcher and a flamethrower (18-25 dmg).
Hopefully this will help you to get better weapons. :-)