Capone idolized Guzik, the two were fast friends, and the only person Capone killed with his own hands in Chicago was a wiseguy who had slapped Guzik around.
Some sources also state that Capone personally wielded the Thompson during the McSwiggin hit, but I don't believe this has ever been really substantiated.
There's also the Anselmi/Scalise/Giunta thing, but I don't believe that has ever really been substantiated, either.