There are several ways you can deal with custom minifig weapons, lets take a minifg M16, a pretty common weapon, and popular with custom minifig creators.

The easist way to acquire a custom minifig Lego M16 is to head over to BrickArms who make a whole variety of custom minifig weapons and a commando style minifig M16, the one with the retractable stock, BrackArms make these minifig weapons from  the same plastic used in Lego Minfigs so they are pretty solid.

The alternative way to get a Lego M16 for minifigs is to obviously try and make one yourself, below are two videos I found  showing two different ways to make a Lego minifg M16, obviously by making it yourself, the accuracy of how the Lego M16 looks to the real M16 is reduced but it can be more fun to make and cheaper.

Obviously you can take the same strategy  for any weapon you want to create for minifigs, and just to show you the full potential of making your own Minifig, check out this post about a custom built minifig M1917A1