Turning IK on for the hands (or arms in P4 figures) then parenting both hands to the prop usually works reasonably well. I think the problems you are having are probably because the gun is a figure, not a prop, this seems to introduce a lot of complications. I would sugest that you try exporting the gun as a Wavefront Object (.obj) file, then reimport the obj and save it to a props pallet. I think you will then be able to parent the hands to it without them flying off somwhere.