The special weapons for these miniatures are found in bag 3, on the sprues that also contain the Reaver arm and weapon.
Each miniature comes in two pieces - the body and the weapon. Here are all the parts together - including the weapons still on the sprues.
Before I assembled any of the miniatures, I dry fitted the parts I was working with to check the fit. If there needed to be any adjustment of the left arm, I did that first and then glued the pieces. The las Carbine fitted very well on the body with bare head, and the Lancer special weapon fitted well on the helmet body.
The other weapon combinations go together in exactly the same way - here's the body with no helmet assembled as a Grenadier.