Okey dokey. Lightwave 3d is a very good modeling program, but unfortunately, it lacks the direct exporting capabilities that 3dsmax has.
There is a well known 3d modelling program, named Milkshape 3d, basically, its a $20 modelling program, and comparing that to the $3000+ cost of Lightwave, you get what you pay for (Read: its a piece of crap).
What you do is import your .lwo into milkshape, unfortunately, the only things imported are the meshes and the surface groups, no UV mapping coords. or animations.
After you get the skins and anims. done (look up tutorials, they're all over the net), all you do is go file->export->UT. This will export all the files the coder needs to get your weapon in-game.
(I won't go into the coding part here).
Nutshell question: How do I get models from LW3D to UT?
Nutshell answer: Milkshape 3d.
PS. I've included an informative 800X600 pic. featuring my baby, my FAMAS.