I usually play on desktop with the steam deck but how you do it is you have to select the character you want to equip the weapon with and then bring up the context menu (as in right click) on the weapon while your character is selected (you can select them in the top bar if you can’t find them) and then one of the options on the weapon context menu will be equip.

definitely would recommend some tutorials from their wiki, it’s great to get started and set up, from there you can start to intuitively control things a lot easier