I have two anecdotes related to this topic:
One, I play an Arbite very closely based off of a certain Police Officer in the Dresden Files series. (It's fun.) At any given moment, unless trying to be subtle, she'll be armed with...
A Mesh Combat Cloak (I'm really not sure what these look like, so we as a group decided it was a bit like a wet-suit design,) beneath Arbite Robes, with a Cameoline Cloak draped over the back. (The cloak is optional.)
Brass Knuckles either in a pocket or on hand.
A knife on her belt.
A shotgun over her back.
A sword at a hilt on her belt.
A Shock Staff, carried and used as a normal walking staff when not fighting.
A Stub Automatic in a shoulder-holster
And, a Compact Stub Revolver in a strap around her wrist.
She's also wearing Photo-Contacts, (Best Quality,) carries around a camera who our Tech-Priest connected to a data-slate, a writing kit, two pairs of handcuffs, a medkit, and a few other small miscellaneous bits of gear. (Currently she also has six mangoes, but that's another story.)
The idea being, there is no situation that could possibly come up in which she isn't prepared for it. The only possible confrontation that I can't currently handle is a long-range sniper showdown, and we have two assassins for that. (Though one of our assassins is trying to kill the other, subtly...)
However, when I designed this, I made sure that all of this gear could reasonably be carried on a person, without looking silly. Every weapon has a holster, every piece of gear has a pocket or slot where it goes. She's pretty much coated in gear no matter where you look, but I made sure that there's nothing in hammerspace: If someone wants to know where my gear is, I have everything accounted for.
I feel like, as long as the players can give a reasonable explanation for how they are carrying their loot and gear, it doesn't pose an issue. However, if they are carrying around 2 shotguns, an autogun, a long-las, a couple revolvers, two pairs of Recoil Gloves, a dozen grenades, and a Great Weapon... That's a problem, whether or not they can carry the weight requirements.
Now, my second anecdote:
I was GMing a mission, and through various events one of my players managed to get access to a filthy rich baron's safe. The baron was a tech-heretic and was currently being arrested and sent for his execution, so the money was completely up for grabs. To keep things reasonable, he asked if he could just take out 12,000 Thrones. (4,000 for him, 2,000 for everyone else in the group.) I was conflicted about letting him take that much loot, but I decided to allow it.
Lo and behold... Things kept running smoothly. Everyone was able to buy gear that they wanted, (Except one player who had to pay for a new bionic arm,) but nobody was able to just go to town with their newfound wealth. 2,000 Thrones seems like a lot, but it's really only enough for one big purchase, and even that takes time and effort to do. (Since you have to find the thing.) Since then, we haven't had any instance of mission-wide loot going over 500 thrones, so I feel like it was a good choice to let the players splurge a little bit and either get one piece of really cool gear, (Synskin, or some fancy gun, etc.) or lots of utility gear that they wanted for their character.