Obama's executive order creating a path to citizenship for illegal aliens age 30 and under is an example of creating an order that has the force of law.
Technically, the order was to suspend enforcement (immigration law is already highly unenforced through a combination of selective enforcement, logistical realities and prevention of enforcement (US vs AZ)). Any "path" would only be from preventing deportation of people who may be around for a future amnesty. There is probably considerably more leeway in the way the immigration departments do their thing than in other areas of law.
An executive order may be able to direct the ATF to expand some NFA category - they have arbitrary power to expand the categories already available to them. I'm not saying though that this would be an easy or quick path to more gun control.
An executive order would be more useful for removing enforcement of an existing gun control law than it would for making new laws.