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There are a few options.

1) Get the GW upgrade packs (expensive)

2) Get the cheaper Forge World upgrade packs
http://www.forgeworld.co.uk/Warhammer-40000/Space_Marines/Space_Marine-Infantry-and-Accessories/LEGION_PLASMA_GUN_SET.html
http://www.forgeworld.co.uk/Warhammer-40000/Space_Marines/Space_Marine-Infantry-and-Accessories/LEGION_MELTA_GUN_SET.html
http://www.forgeworld.co.uk/Warhammer-40000/Space_Marines/Space_Marine-Infantry-and-Accessories/LEGION_FLAMER_SET.html

3) Get a counts-as gun from Anvil, Hasslefree, Maximini ect. (see the thread at the top of this forum on non-GW mini producers)

4) Get them from bits sellers/Ebay (could be very expensive)

5) Get a Tactical Squad, mix them with the GH kit, get 2 full kitted out, wolfy and complete GH squads. (Probably the best option)

 Paradigm wrote:
5) Get a Tactical Squad, mix them with the GH kit, get 2 full kitted out, wolfy and complete GH squads. (Probably the best option)

This. My Space Wolves use a mix of parts from pretty much every Space Marine variant, to give them that more individualised look.

GW Melta Guns actually aren't that expensive. If the rumors are true about a new starter set with space wolves and orks I'll probably buy that.

I would say it depends on what you want.
But GW set of metlas etc are good to have in your pocket. Realistically though, if your painting to play you can make a couple of plasma guns to stick in your first set if ten without shedding out a penny.
As your army grows and you want other weapons buy them you will most likely use them all tbh, I did.

 insaniak wrote:

 Paradigm wrote:
5) Get a Tactical Squad, mix them with the GH kit, get 2 full kitted out, wolfy and complete GH squads. (Probably the best option)

This. My Space Wolves use a mix of parts from pretty much every Space Marine variant, to give them that more individualised look.

Exactly what I did! Bought one or two of each SM variant kit to mix with base (new) tacticals to individualise them more. Plus a bunch of extra Blood Angel bits (since I'm blood ravens). Genetically engineered centuries old warrior monks with the wealth of a million worlds lavished on them should look more interesting than your basic tac marine imo!