Go to the top of the tallest bulding in Los Santos and get the parachute at the top. Now jump off it and press circle to use the parachute. Fly into the yellow marker at the the bottom of tallest building (make sure you're holding down on the thumbstick) and when you stop running the parachute will stay in the weapons square in the top of the screen. If you jump off another building or out of a plane etc. you will be falling not skydiving and you also can't change weapons. The only time you can use a weapon is when you are in a car or motorbike. When you want to get rid of the parachute just get wasted or busted.