New weapons are mostly stored in libraries, as well as new editor objects and scripts. To add a new weapon to a scheme, you must first include it's library file (by clicking the LIBRARIES button in the Scheme Editor and checking whichever ones you'll need).
Then, you must replace one of the existing weapons OR make another Weapon Table. You can switch between Weapon Tables in game using the + button.
Select the weapon to be replaced (remember you're not going to lose anything if you're doing this on the 2nd Weapon Table) and check the 'Use' box near 'Use from library'. Select the library you want to use in the dropdown box below and then select the weapon you want to import. After this, you're set.
Remember to set the Count and Delay if you're using the second weapon table. You might also want to try the Normal PX scheme, which includes most of the scripted weapons.