You need to look outside the box, Adam. Initially, when you first look at it, yeah, its hard to see a static mesh that could work universally at any place and still look decent (we'll settle for decent, not good).
Wrapping oddly would be important to consider, but if you have just a small spherical gory lump, I think it could work nicely. If it sticks out the side, it'd look like some bits of meat sticking out the side of the arm or whatnot. If it pokes out in back, you got an exit wound.
Now the only problem is that the front surface will have to puff out a bit to make sure it doesn't hide behind the body. But this could be made to look like meat sticking out, being forced outwards from the impact.
The mesh should look like some sort round semisphere for the front, then a bit of mass behind it, then just have little strands and chunks sticking out from all sides a little bit so in the event that it does poke through, it looks like more mutilated flesh. Little chunks of bone sticking out might be a nice touch too, unless it was a shot to the abdomen.
I wouldn't actually rule out the possibility of static mesh changing based of locational impact though.
Still, I could try and make a simple static mesh or two if someone wants to code it. Can't imagine it'd be all that difficult.