Gmax is really only used to create the missile, bomb or projectile and I created it as an .mdl (aircraft model).
Next is the sound of the weapon firing and the explosion or impact sound.
Then it's the effects. The smoke trail, tracer line of bullet or shell, and the explosion or impact.
And finally it is the coding in the CSWeapon.xml file.

I can't point you to a tutorial for creating all that, as I don't know of any. As for a tutorial on creating an .mdl, you could try the FFDS Design Forum. I learnt most of what I know about creating aircraft for Flight Sim there. It's probably far more in depth than what you need to know for creating a model for Weapon for FSX.

Mark