May not be the best way to do it, but here's what I did:
-Setup a float variable for the value of the scroll wheel
-Use "Get Axis" to get the value of the "Scroll Wheel" (referenced in the input manager)
-Do a float compare for the scroll wheel value. If less than 0, send to scroll down state, if more than 0, send to scroll up state
-Setup an int variable for "WeaponNumber." In the scroll up state, add one. In the scroll down state, subtract one.
-In both the scroll up state and scroll down state, do an int compare for all weapons. (i.e. If int = 1, send to weapon1 state, if int = 2, send to weapon 2 state.) You'll also need to clamp (IntClamp) your "WeaponNumber" variable to a set range (which is the total number of weapons you have.) Finally, you'll need a transition for each weapon.
-In the weapon selected state, setup everything for the specified weapon (Damage, range, GUI, etc.) Then proceed to send an event to the original state, so that you can cycle through over and over again.
That's the basis of what I have setup. If you have any questions, let me know.