While travelling with a knife is quicker, it leaves you very vulnerable, while a pistol will let you travel almost as fast, and will also give you protection to 100 yards or so. A knife is good for areas where there is very little chance of encountering an opponent, but the old addage is so true, "Never bring a knife to a gunfight". At least with a pistol, you are still outgunned, but you do have a gun.
Shoot the pistol frequently when you are practicing, and try to do single player missions with a pistol as the primary weapon. A pistol will