Aristotle - at first I tried using Adobe Illustrator, but I still can't wrap my head around that program. So instead I went to my old backup vector graphic program - Corel Draw 9.
In Corel Draw, I well... just draw the guns as I want them to look.
Most of them are just a series of boxes really, with some minor tweaks.
In some cases, I lay out the original graphic of a gun as a bitmap in the program (especially when drawing guns that I had done before usign photoshop for my cyberpunk website), and draw the vector boxes over the photograph. This helps make sure that certain aspects of the guns in question remain true to the proper sizes and scales of a real firearm. When I don't do this, some of my illos have definite scale problems. For example, look at the latest one (the Olin grenade launcher). Looking at it now, I realize that the Rotary Cassette is too small... after all, those tubes are slightly larger than 30mm in size, makign the grip of the gun REALLY long.
Anyways, once the design is done, I export it as an Adobe Illustrator file (because Photoshop can use illustrator files, but not Corel Draw files), and import it into Photoshop. The key here was learning not to just copy-and-paste the image over, since it would come out at a low DPI instead of the 300 dpi needed for print work.
Once in Photoshop, I drop the gun image onto a file with the already existing background, give it a 3 pixel black 'stroke' and then a drop shadow. Then I save the 300 dpi image, and then make a much smaller copy at 640 pixels wide which I save in jpg format for use here.