They are made out if programmable matter, (aka glimmer). Their blue prints are stored by our ghosts. The amount of data each item of gear or weapons take up in storage is quite high. This is why we have only a finite amount we can carry a field with us and store in the vault...which is basically a large hard disk. When you swap weapons you can see them materialize, that is the glimmer fabricating the weapon from its stored blueprint. This is also how engrams work. Which is funny as there is a tie in with them and siva.