the weapons HUD, does in fact have a skeleton rig also. It can be much simpler then the character one, but depending on the weapon wanting to be used, you may include a full skeleton for proper movements, (staffs, swords,) where you could include animations that move forward or from side to side.
I would suggest getting Fragmotion trial for a bit and opening some of the character and weapons x files and take a look at how they are constructed.
For weapons there are 2 rigs. One for the weapon it self, with the weapon mechanical animations in them, the other rig is the Players skeleton, simple or complex.
Then those 2 rig are linked together with a Dummy object and then the player part is animated.
The good news is that once you get one down you have a rig for adding other weapons easily now.
For a tutorial, it would depend on the model program you are using. Once you know which model program you are using, then you should look for tutorials on how to rig and animated with that program. Make sure that it can export animated x files properly.
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