Ok, remember this rule: the mesh you selected to be Attached is melded into the first mesh. For instance, you select Mesh01, hit Attach, then select Weapon01. What happens is Weapon01 became part of Mesh01 and is now using Mesh01's Skin modifier, ignoring the Skin modifier in Weapon01 if there was one. So keep that in mind and try to keep the mesh with the most vertex weighting (the Skin modifier) to be the FIRST mesh you selected before attaching. Otherwsie you'd loose the Skin modifier.