Don't think you can actually add new components to weapons once they are built, you can certainly add "optional" components when first making them to increase stats though.
The only way to boost your weapon once its made is of course using powerups and/or getting it sliced.
As for the second question, I can't really say since I have never played commando but I would guess you should always be using whatever weapon you have the highest certification for. But again, I haven't played a commando so someone pse correct me if I'm wrong.