I don't play online often due to the fact that I won't have my own internet connection until sometime next month, but I hardly ever do a full BnB combo into Bang's DD. It lowers the damage by quite a bit. But there are times when it's pretty useful to combo into it, such as when your opponen's on their last little bit of life and want to ensure victory.
But if you're just looking to take off a good chunk of their energy, I usually do the first 3 hits of his standard BnB (5A, 5B, 2B), then 623B and go into the DD, connecting when they rebound from the wall. Or do the full standard BnB combo (5A, 5B, 2B, 2C, 6D), jump and input the spider nail projectile as soon as they begin to tech roll up. By the time they fully get up, Bang's idle time before firing the nail is gone and it's already hitting their face. By then, the combo counter's reset, they're frozen from the nail, and they're wide open for a full-powered wallplant (his DD, lol) as soon as you land.