To instantly reload just hit the weapon select button again (default.1,2) while reloading.

For example: if you have a assault rifle in your slot 1 and you are currently reloading (it says "reload" in the middle of the screen) just press 1 and you have a full magazine.

This works both when you press R to reload or when you just shoot your gun empty.

as steam user 💯 points out you can't do this with slot 3, so you have to switch to another weapon first and then back to 3 in order to skip that reload.

R -> 1/2 -> 3