Edit: The one thing I wanted to do was have cavalry that charged with lanced and fought in melee with swords or maces, but I've never gotten around to it. It's purely cosmetic anyway.
I think it should be doable - just declare the two weapons in your "CaravelsNewCav_w.txt" file, then the lance can be used when standing, running, walking and charging, and the other weapon for fighting (and probably dieing ), with the appropriate weapons divided between the two relevant folders in Items ...