I can give you 3 tutorials that gave me huge boost in 3d modelling. 2 of them are for 3ds max, the last one is in Blender.
Here are they:
Modelling shotgun - YouTube [3ds max]
Modelling Revolver - Digital-Tutors [3ds max]
Modelling Assault Rifle - Digital-Tutors [Blender]
Here are they.
About your questions:
The magazine clip should be a separate mesh. So when you are animating, you could attach the clip of the gun to the hand of the player, and let it follow the animation.
And about the rocket launcher, yeah you have an animation that you made in external application, then imported in UE4 it’s plays while firing.