moving gun in first person shooter while walking

http://dastardlybanana.com/FPSConstructorWeapons.htm
This si quite good

As you're apparently in First Person View you could do with creating a few bones for the player arm (if hand is visible give it a mesh as well), animate this arm, attach the gun to the hand, and you're set. If you have option to view yourself in third person (or other players), you could as well give your character a complete skeleton and of course a body/mesh.

Basically, look at the animation demos, and imagine attaching the camera to head of the puppet, if your body is never in sight, you can optimize performance a bit by turning off the meshrenderer of your player (or put it in a layer you don't draw with your camera).

yeah I was thinking of that too, but what if he wanted to have multiple weapons?... oh I know, I have a different arm for each weapon!!!

um... If you wanted to make a SINGLE PLAYER, you could get the first person player file off of unity3d. I have no clue how to help you with MULTIPLAYER.

You could make a single character model, and put ALL weapons in his hand, but only render one at a time. I'm working on a crazy fighting game, and that's what I did. Each character controller has almost 100 items to them, from guns to swords to grenades. wings. but it only renders when I tell it to in-game. The whole renderer.enabled: Boolean thing is a life-saver!