I think in that case I used the animated version of Pudge for conversion:

In principle, the weapons are always connected to the meshbones (left), and as soon as you activate the animation (right):

they are adjusted to the mesh (hands etc.).

You can either use the Opacity slider in iClone:

or use another program (that keeps the bone structure) to remove them:

In order to get the weapons, you simply need to export them as "selected object" from (and then re-import to) 3DXChange:

and attach it to your hero in iClone.
There is really not much you can do wrong or that you should be afraid of !
;)Good luck !
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