Listening to sounds on-line is a tough job; most of the sites use MP3 or lesser quality - "audition quality only" - so you can't just record the sound and use it for free.
The next issue to address is - are you dissatisfied with the actual sounds (there are quite a few really excellent weapons libraries out there) or just the
perspective of the sounds?
Making things "sound like it belongs with the rest of the audio" is the essence of mixing/rerecording. In one scene I can have:
- Production dialog, production dialog alts, production dialog wilds and ADR
- Foley recorded in the studio and my basement (concrete floor just outside the studio)
- Sound effects recorded in my studio, in my basement, in my garage, in my backyard, and from half-a-dozen sound effects libraries.
I may not be a professional rerecording mixer, but I can at least make everything sound consistent (APE would probably call my mixes "serviceable."

). At the technical level it's about EQ, levels, processing (reverbs mostly), great speakers and a great room. It also takes great ears and a lot of experience.
Libraries:
Hollywood Edge
Soniss
Sonic Boon
Hiss and Roar
Sound Effects Monkey (aka Chuck Russom FX)
Sound Dogs
Boom Library
AirBorne
Yes, I've bought SFX and entire libraries from all these folks. There are many more.
There's also Sound Ideas, which has most of the major "commercial" libraries.