Okay, you can't carry more than one weapon at once, but if you have two weapons you can't decide for, and you have the time, you can bring both along. Holding one weapon, stand over the one you want to bring along. The 'Press A to switch Weapons' message should appear. Now, rapidly tap A while -walking- not running forward. If you move to fast, you will drop on. If you walk, you can drop the weapons and immediately pick them up again. I once had a full Shotgun and a full Assault Rifle carted to a fall back point, so when I ran out of my current weapon, I would be able to go back.