Beautiful photographs, guys.
In answer to the OP, I would also like to add in that I had bought that exact set up, or one that is visually identical to the one you linked. I got if for general macro use. The lights are not really bright enough and the box is small. It's really too small to give you adequate room for photographing guns.
Here's a few links to home made lightboxes which can be superior in size and flexibilty, if you choose to go that route.
Link 1
Link 2
Link 3
They're generally quite easy to build and can be as easy as clipping a white bed sheet over a cardboard frame.
The purpose is to diffuse the light, which as the pros have pointed out, natural light does a wonderful job with.
If you want to go with natural light, then a couple pieces of white cardboard (project board (foam or cardboard) or science fair board at the art shop is great, if you can't get large foam core board) will do and you'll want to set them on the opposite side of your weapon from the source of life (eg sun left, reflectors right) or wherever until you get the lighting you want.
Macro is awesome.
If you want depth of field, go manual aperature and set it to small, and then use a tripod (like F22). For shallow depth of field (business end in focus, but further down the weapon is out of focus) then you go to the other end, or "wide open" if you like (F3.5 or whatever is the small number on your lens or digital camera menu).
Best advice was a few posts up, just take alot of pictures and you'll get better at it.
Hope it helps & look forward to seeing those photos
note: pics 2 & 3 were shot greenscreen then the background was photoshopped in.
(personally I think the pros take much better photos than I do
, but I'm practicing!)