what’s the exact shot ?
If it’s an action shot of the bullet going through and the explosion out the back you have to model the entire head and put a det into it. Colm from the 101st might have some ideas on the det and how to get the effect you want. You’ll probably have to greenscreen the shot and overlay it in Post
If it’s a body or after the shot then you need to make up a prosthetic from latex( or dragonskin) and Jelly and fit it to the actor. I’m sure I’ve read some stuff on this at some stage on the internet but I just can’t remember where