SPOILER ALERT: This post will explain some things about how Kazuma grows through the series in power, I've also given a couple spoilers about the very very end in the Final Stage and its side effects. 😛 I may write an explanation as to how things happen, and why I think this way (if others disagree), later. 🙂
Kazuma, first stage: The basic arm, three shots.
Kazuma, first stage upgraded: When punching, the arm will open up and grant more power.
Kazuma, second stage: As explained above, but Kazuma can overpower his arm, causing it to create a chain reaction with the alternate dimension.
Kazuma, second stage upgraded: Kazuma has enough control so that he won't overpower his arm, and therefore can use it more often.
Side effect: The power drawn into the center of the top of his hand begins to cause his skin to dissapear and destroy, as he slowly gives part of himself to the alternate dimension each time he uses his "Shell Bullet".
Kazuma, Final stage: Armour covers his body, each of his arms has the 'Shell Bullet', he has a tail that can launch him off, the 'helicopter' blades are now just things that extend from his shoulders, not being able to carry him anymore. (Instead, he tends to just float, or launch himself with his newfound tail.) He has a face mask, and antennae.
Side effect: Now it's beginning on his other arm too. Once the hand gets eaten to a certain extent, it begins to move up his arm as well. You see how it's affecting him in the final episodes, just before the climactic final battle between Ryuhou and Kazuma. ^^