Mass Effect projectiles 101:
Using mass effect fields various arms manufacturers have made lightweight but highly durable firearms. The limiting factor on any firearm is Newton's third law, because as we all know HE'S THE DEADLIEST SON OF A BITCH IN SPACE!
The second limiting factor is of course heat. The weapons actually operate with tiny mass-effect generators because it allows people to accelerate a small cube of metal at incredible speeds (Newton's third law being the limiting factor). So they don't necessarily achieve astronomical speeds, and probably don't go much faster than a bullet by today's standards. However, you could shoot a bigger bullet out of a a smaller gun.
Ammo is in fact, like Sabby and the codex says, a block of metal. From that block the gun's computer will slice off the appropriate chunk. I don't think they would be grain-o-sand size because of rounds like cryo or pyro. They would have some kind of tracer like core with the chosen element. Likewise, shredder or anti-personnel rounds are probably cut by the computer in a different way, but it is implied that they're still large enough to act like a FMJ, an HP, or a hunting round. Or that enough of them are forced out a barrel to act like a shotgun blast.
Due to the metal block, ammo is a non-issue in combat.
The thermal clip:
Technically speaking guns are still infinite ammo. A thermal clip is a uniform, universal small arms portable heat sink. As the weapon is fired the heat builds up. Various weapons heat up the clip faster than others. When the thermal clip is full it is ejected to instantly cool the weapon and prevent malfunction. In real life if one of your guns overheated it could deform the parts, so this actually makes sense.
Non small arms weapons: Apparently these still use unique ammo types, so a large explosive round from a helicopter gunship would no doubt not qualify as small arms and therefore not use the same method as above.