i beat the game and i turned on infinite ammo but i dont have it

I believe you have to beat the game above a certain rank.

but there is an option asking if i want infinite ammo on or off

Shoot babies in the face...

If you go into Bonus Features (the menu where you use those credit pts to buy figures) you will be able to purchase infinite ammo for a specific gun.  And then after you have purchased that, when you start up your save, turn infinite ammo on. 

You can get points from the ranking at the end of a section of a chapter as well as through mercenaries.

k thanks