I mean really destroy.
So if you shoot on a stone, a piece should break off.4
If I shoot on a thin wood wall, bullets should go through, if i shoot often it should break.
How can I do that? Is there any tutorial or something to read ? I saw it in videos, but they never tell how to do 
Hope someone could help.
Thanks in advance
"APPROXIMATE" APPROACH
It's usually done with particles, in an easy way, but pay attention: this is a "simulation" of the destruction - an easy workaround: you won't modify the physic structure of the object; so, if you shoot on a stone, as you imagined, the stone won't be resized or deformed, but you can simply see "pieces" of the stone "splashing away".
If your stone has to be destroied after 5 shoots, use particles during the 4 initial shoots, and call Destroy() only at the last time. I like very much this tutorial by Unity3DStudents: http://www.unity3dstudent.com/2010/10/beginner-b23-particle-systems/, which shows you how to allocate particles star-shaped, using a star texture.
"REALISTIC" APPROACH
In this case, you really deform the object hitten, but you have to create some 3D models and then iterate trough them. As an example, if you have a spaceship, with life=500, you can create 5 models of your spaceship, from the less damaged to the almost-destroied one. Every drop of 100 lifes will cause the "loading" of the next model.