The other tip would be to place the gun in the characters's hand when it's in the default position where it's much easier to line up than with a posed figure. The gun will probably load lined up to a posing axis such that rotations will be in increments of 90 degrees and placement is just a matter of adjusting X, Y, & Z translations to put it in a hand.

It's easiest with a prop. A new file can be loaded, move the gun to the figure's hand, parent it to the hand, and save the prop (and say "Yes" when it asks if it should be saved as a smart prop). When the original file is reopened, and the prop loaded, it will pop into the figure's hand even though the figure is posed.

Since the gun you're using is a figure, it can't be saved as a smart prop. However, your character's pose can be saved, the figure restored to the default position (from Edit/Restore), place the gun in the figure's hand, parent it with Set Figure Parent, from the Figure menu, and then apply the saved pose to the figure. One note of caution is that restoring the figure will have the unintended consequence of restoring any parented props or hairs to their original size and position. Save your scene before trying this. As a general note, save Poser work frequently because there are so many things that can be done that cannot be undone. Always save before doing a render because renders do occasionally lock up Poser and a whole day can be wasted when that happens.

I haven't always had good luck moving joint axes on props and figures. I'm not sure what I've done wrong, but sometimes it works like a charm and other times, moving a joint down one axis causes a movement on another axis or causes the other joint to move away from where I set it. A lot of the time, it's much quicker to move the prop to the figure's hand while the figure is in the default "T" pose.