I kind of discovered by "trolling around" that 40mm Bofors loaded with HE rounds were quite effective against many Japanese merchants except large stuff like European liners. My thinking was "Hey! If the 40mm works, maybe the 37mm on my U-Boat might too!" Alas, it didn't quite work out that way.
I'm playing SH4 Gold Edition (with U-Boat Missions and the stock campaign), so the mechanics might be different if you have some super mod like Trigger Maru