Scott, here's something I've done before with this same problem. I had a bag of very tiny rubber bands that were meant for braces (teeth). I would double wrap it around the weapon, and then it would stick in the figure's hand without ever moving around or falling out.
The only bad thing is that I'm not sure where you can get those rubber bands. You could probably try an office supply or craft store. I'd like to show you a picture of how I set it up, but I don't have any examples to show you because I traded away those figures some time ago.
Good luck getting it to work!