To expand on Swaffy's answer:
It doesn't matter at all in which of the ".con" or ".inc" files you place the stuff, they all get loaded. It just makes things more orderly

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There's also one minor mistake in your answer, Swaffy:
In the "MultiShotWeaponsMod.inc", you only need to add this:
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AnimationStateMachine.copyState NewFIREARM v_arg1 Thompson 1.0 Thompson 1.0
The other command, "CopyState2" is just a convenient abbreviation of "copyState":
equals
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CopyState FIREARM v_arg1 FIREARM 1.0 FIREARM 1.0
This means that CopyState2 only makes sense if you utilize your own, unique animations (.baf files).
You can see this for yourself if you take a look at the vanilla SingleShotweapons.inc. First comes a bunch of copyState2 to define the main weapons, then comes a bunch of copyState commands of wepaons that "recycle" existing animations. E.g. the K98 uses the same anims as the No4, as well as the K98Sniper and the No4Sniper.
To further expand on this explanation, let me tell you what the individual values of "copyStates" are for.
Let's take a look at this line from vanilla BF42:
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AnimationStateMachine.copyState Panzershreck v_arg1 Bazooka 1.0 Panzershreck 1.0
The first argument ("Panzershreck") is the new weapon you want to assign animations to.
The second argument is a variable and always has to be v_arg1.
The third argument are the WEAPONHANDLING animations you want to the new weapon to use.
The fourth argument is an overall animation playback scaler (IIRC, might be wrong. I always used 1.0).
The fifth argument is the WEAPONS animations for the new weapon.
And the sixth and last again is a playback speed multiplier.
Many weapons that are very similar easily can use the same handling animations (Bazooka&Shreck), but obviously need different weapon animations as the firing, reloading etc. are different. As the "weapon" animations also control stuff like magazine positions during reload this is vital, whereas the soldier animations (Weaponhandling) are rough anyway, so if they are a bit off nobody will notice anyway.