I don't feel it's my place to tell you if you should feel bad or not, as that is a matter of personal ethics, etc. I have shot dozens of squirrels and ground squirrels. The only time I feel bad about it is when I do not make a clean shot. I figure if I make the choice to take something's life, I can at least do it without causing the animal to suffer. For this reason I try to make head shots whenever possible.
I realize that's more of a personal perspective than an answer, but I hope it was helpful.
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I've got the love of my life and a job that I enjoy most of the time. Life is good.
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