When i choose a weapon should I go for the highest dps stat or the damage stat?

Depends on how accurate you are! DPS implies a consistant hit, damage on it's own is a single hit.
A high power sniper will do more damage as and when it hits than a machine gun, however you may be more likely to hit and keep the hits coming with the machine gun. Also, if the target isn't dodging then you can get more hits and cause more damage with the machine gun, however, you risk getting hit back. With a high power single shot the enemy may not get that chance.

When you're in a situation where you are swarmed by a dozen enemies, seconds matter.
Having a secondary or third weapon with a high damage per shot could work if you paired it with long range. But you would still need some accuracy.