Step 1: Selecting a Gun, Materials
As far as customizing goes, a big bin of random bits of junk is great. I used:
a dish soap bottle nozzle
a piece of what I think was a extension cord roll holder
an odd electrical fitting left by the telephone man and discovered when I ran it over with a lawn mower
lots of bits from a cd player
for the heads-up display, I used some copper wire, a antennae coil, a coil from a mechanical pencil, laser diode and scan lens from a broken cd player (non functional), the lid from a flash drive i took apart, and of course a pair of shooting glasses
As far as paint, spray paint is king. It may be wise to apply a spray on plastic primer, as some plastics just don't like spray paint. For superfine detail work, model paint. I went for a gray/blue/black color scheme.
For gluing together, I used E-6000. It's cheap, gloopy and it holds. Epoxy and JB Weld also work.
If your mucking about with the electronic effects, a soldering iron, solder, wire, and whatever else you need will be needed.
You'll also need a screwdriver of the appropriate type, hacksaw, and a razor blade / exacto knife