How to make the last sprite of gun firing animation remain until you stop firing?

You have to use the state label, not the state itself. Labels are things like Fire, Hold, Spawn, etc. So you need a state label called Hold that then loops the frames you want, then repeat A_ReFire in it.

Fire:
    PLSG B 3 A_BFGSound
    PLSG C 3 A_FireBFG
    PLSG D 20 A_ReFire("Hold")
    Goto Ready

Hold:

    PLSG D 5 A_ReFire

    Goto Ready

Something like that.

What you need is a state label inside A_ReFire. It can be used to send the weapon to another state if the trigger is still being held, in your case a state where the last frame is looped.

https://zdoom.org/wiki/A_ReFire

nevander posted an infinite loop. Never, ever jump to a given state from the same state, actions are executed immediately and so it starts doing nothing but running that loop until GZD determines something's wrong and closes the application. Do something like this instead:

Hold:
    PLSG D 1
    PLSG D 0 A_Refire
    Goto Ready

I don't get this wiki entry. What is the state I should enter?

PLSG D 5 A_ReFire [(str PLSG D)]

PLSG D 5 A_ReFire [(str "PLSG D")]

PLSG D 5 A_ReFire [(str "fire")]

They don't work. What should I enter there?

Thanks, that's something that could've been explained better in the wiki, but... Hmm, using this Hold label causes some error that closes the app.

Thanks for explaining. This still didn't work as it held the frame but didn't cause the projectile to appear, so I added

Hold:
    PLSG D 1
    PLSG D 6 A_FireBFG
    PLSG D 1 A_Refire

And now it works perfectly!