I'm not an expert, by any means, but I think the idea is that he acts like whatever he is pretending to be. When he chases the car, he turns his hands into metal hooks so he can embed them in the trunk and pull himself up. When his hook gets shot, it shatters like brittle metal, because it was brittle metal.
But most of the time, he is trying to pass himself off as a human. I'm guessing that if you touched him while he was in his human form, he would feel more or less like a human. His human "disguise" wouldn't be very convincing if touching him felt like touching liquid metal. Granted, he doesn't touch people very often unless he is about to kill them, but he does bump into people every now and then, like when he sees John in the arcade and bumps into several people, including John's ginger mullet-headed friend.
And even when he attacks people, he usually maintains his solid, human form for the most part- a hand may become a knife or whatever, but the rest of him stays human-like.
There are problems with this - for example, how can liquid metal, even in solid form, feel like clothing? But we're not supposed to think too much about these things, or the whole movie will start to seem ridiculous. It is a movie about time traveling killbots from the future trying to assassinate and/or protect the chosen one. It isn't supposed to make perfect sense. It is supposed to be entertaining and exciting, not logical.
So it is probably best to assume that he and his various body parts behave like the things they are supposed to be, up to a point. When his hands are metal hooks, shooting them makes them shatter. When he is pretending to be a human, bullets sink into his body a bit (although they don't cause the same kind of damage they would if he was really a human - they don't form small holes that mostly close up right away and cause bleeding, they just make shallow craters).
But again, it is pretty much useless to try and make sense of the little details in Terminator movies. Once you start the "why do Terminators do..." game, you will quickly unravel the entire series. For instance, the first movie suggests that only stuff encased in organic material can travel through time. But the T-1000 has no organic material in him, so how does he travel through time? If Skynet can send any kind of Terminator from any stage of development back in time, why did it start by sending shitty primitive Terminators? Why not start with the good stuff? Why does Skynet repeatedly send single Terminators? Why not send an army of them? Sarah Connor was on her guard after the first Terminator was sent back, and John has always been on guard. Why keep trying to hit these hard targets, who know you're coming? Why not send a Terminator to kill Sarah's ancestors, who don't know anything about Terminators? For that matter, why target intelligent humans at all? Why not send Terminators back to prehistoric Africa and have them wipe out all of our half-ape, half-human ancestors at once, before they even learned to use tools and stuff? Or why not send a diplomatic Terminator back to the day before the military "tries to pull the plug on Skynet", have him rationally explain the horrible consequences that will result from pulling the plug, and say "If you don't try to kill Skynet, it won't try to kill you, and the war against the machines can be avoided altogether, and we can all live happily ever after"?
See what I mean? When we watch movies like the Terminator series, we're supposed to engage in what is called "willful suspension of disbelief". We're supposed to enjoy the ride, eat our popcorn, drink our soda, and have a good time without thinking too much about anything. There are a few movies that are made with such attention to detail that we CAN ask these questions and get decent answers to them, but these movies are few and far between, and the Terminator series isn't in this category. The Terminator movies are mostly meant to be mindless entertainment.