Farm them from areas with lots of gun chests.
Enter an area with several gun/item chests (e.g. New Haven (total 5:2 orange & 3 white), Old Haven (total 6 or more:4 orange & 2 or more white), Crimson Fastness (total 5:5 orange)). I have found that the orange/red chests tend to have a higher chance of orange/alien weapons/items.
The later you gain access to an area in the game, the better (i.e. higher level required) the guns/items it will spawn in the chests, but it does not change the likelihood of having an orange/rare item spawn. Gather the items from the chests, sell the ones you don't want and then exit/save and repeat.
After a couple of hours, you should have several orange/alien weapons and a couple million dollars - which is helpful when you want to buy the final ammo upgrades (over $700k each).