I just dumped a similar list on a different post, but it can work here as well.
There are many tutorials out there, and many examples of all types of crafting. It is limited by the money you want to spend, and the patience you have, along with the nitty gritty skill needed to accomplish such things. Thus people can't tell you the best options, since the 'best' is different for everyone.
Nonetheless with all examples a base is always needed whether it is the Paper Craft, or cutting it out of cardboard or other semi ridged material to flesh out the shape while you work with the nice stuff.
This material is the most common on this site for using with the Paper Craft helmets and armor pieces. It is smooth, easy to push into tight corners and spots, and hardens ridiculously so. However they call it light weight but in my opinion it had some nasty heft when I made some hooves for a Minotaur costume, thus was too heavy for me to consider it for my own armor. There are oodles of tutorials around, and some pages in the stickies you should take a peek at.
It is very light when cured, lighter than Bondo, but has a lot of tiny air pockets so the final coat would need to be something like fiberglass or oodles of primer to fix that. When working with it, it is very tacky so details are impossible on the first layers.
This stuff has a nice consistency when working with it, and feels air light in the hand. From the demo images it shows it is strong enough to stand on, but light enough to hold with one hand. I used this in the snout of my Skirmisher helmet cast. For the helmet it felt way too heavy considering how much else I have to add to it, but it may have been the thicker plastic that was also down there, so I don’t know if it is really light when cured or adds some heft. Nonetheless you can't work in large amounts at once, so many applications of small chunks.
This option is light, inexpensive, but requires skill. Here is the other user's thread with it-
http://www.405th.com/showthread.php/35889-ODST-Foam-WIP-%28Pic-Heavy%29-GySGT-Buck
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Elmer's Glue and Cheese Cloth
I have not tried this, and I would NOT recommend it unless you are on a super tight budget, as it could be a total BUST, but I have seen people use cheese cloth, or other thin porous fabric, dipped in Elmer's glue like fiberglass. However many many layers would be needed to thicken enough to sand, and the fabric may make sanding ridiculously silly looking. Glue is also brittle when dried, so if it is dropped or sat on improperly without enough structure it would likely shatter into a sad little mess.
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As with any of these, ordering test/sample amounts may be a good option first, to see if you even like it. The costs also can seem scary on the Smooth-On products, but I try to take into account the pros that go along with it such as the reduced weight and the ridiculous strength. I am not a strong person at all, I don’t want to lug around a heavy costume all day!
Either way this was my dump of armor making ideas that I can think of offhand that don’t branch out into the insanely expensive methods of Styrene, Vacu-Forming, and Molding. If cost is no option, then take those terms to Google as there are many tutorials there that can help you get down that crazy road of movie quality work. There is even the crazy rout of contacting a custom sheet metal shop to laser out pieces, but that is insane costly. My own father who owns such a shop looks at me crazy if I want him to make metal loop brackets.
As for the gun, unless you want to be able to shoot nerf darts, I would just cut out the shape from plywood and build atop it from there. Trying to attach stuff to their painted plastic can be a bitch IMO.
Pro Tip: Never forget to distress and stain up your costume. Adding grunge makes it look REAL.
