How to make player model hold weapons

Well, basically, what I'm trying to achieve is that I want my player model to hold a gun, but the problem is that I'm using mecanim, and I want to make the gun be there all the time, and I know that has to do with Avatar Masks. But I don't know how I should do this, and I want to do this because I'm taking my game to Multiplayer and I want other players to look good instead of capsules with floating arms. So, how should I do this, what are your thoughts? And I'm also wondering if they're doing the weapons for the player and then not render them for everyone else, and then they make a player model to that which holds the current weapon.