I would guess no, because a large piece of steel would be pretty heavy, and I don't think a tough Pokemon like Gurrdurr would be very light. Also, this piece of info from Bulbapedia:
> It is known to usually carry an I-beam girder in its arms.
"Usually" means not always, so it would be possible to find girder-less Gurrdurrs, which would make sense, considering how the steel beam is not a part of it, but an object it carries around with it, like if a person took a particular object around with them for their whole life, it doesnt automatically become a part of them, since it would be possible to take it away.
So, I do not think that their weapons are part of their weight, since it is not a permanent part of them.