I'm playing a Crusader. I found 2 new weapons yesterday after a mission (a bolter and a multimelta). I equipped them, and then went and played a new mission. I kept the old weapons in my inventory .. When I started the new mission, my weapons were reset to the default heavy bolter and heavy plasma. After that mission, both of the new weapons were gone and I still had the 2 old ones in my inventory, so I basically ended up with 2 copies of each default weapon and the new ones were completely gone.
I only noticed this with weapons, i've equipped other types of items and they seem to get saved just fine.