The skeleton rig you attach your mesh to, this rig drives the animation for the model, vertices are attached to the bones and follow these when they move around.
There is a lot to know about how to rig your model and will take time to learn but no reason you cant dive in with it, simply google '3d rig' to get the info.
You can use any modeling program that supports animation and export to .X, bones can be named just like any parts of a model and the one you want is FIRESPOT, this tells the engine where the weapon should be located on the character in game.
Create a small bone and
attach it to the bone where you want your weapon to be. Name the bone FIRESPOT, its fairly simple.
I don't trip over...I do random gravity checks.