It depends on how you model your character, are you modeling him whole with legs and everything or are you just modeling the gun and hands. Your question is very confusing. I model the weapon and the arms seperate and then texture them both, I then import one into the other and animate and then place in game. Or you can model them together and texture together, I just find it harder in the end if I wish to change something Then it is just camera placement to get the model in the right area. If you have modelthe whole character use clipping masks / layers/ cameras etc to only veiw what you wish to see.
If you are asking about how you model hands, google a tutorial or something to get you started, they are simple.
Hope I helped. Maybe you can make your question more precise
Peace, Aaron Lewis