Yea, just make a new folder in the overlays folder and name it whatever you like. You seem to have caught on to that much quicker than most.
For small arms, you generally use a voxel editor. For vehicles or heavy weapons (like mounted MGs) you use a 3D model program like Blender. To edit voxel models, you need either Sproxel and then an exporter program, or you can use the official voxel editor (which also has the capability to make animations). I've got the official editor here, if you want that, since the link appears to be dead:
https://www.dropbox.com/s/8pgyfduqj5zi1 ... r.zip?dl=0(this happens to have a .bat file to open up the editor for animating purposes - it has one of my complete animations and one of my soldier models in there if you're curious, as I'm working on a WWII mod)
I suggest you give the readme a thorough reading before starting.