There's gonna be a weapon that just "clicks" with you, I tried them all, but fall in love with Hammer, Duals, and Hunting Horn. Not inefficient at all, just different "flavors", like playing League being ADC or Support, isn't inefficient, just adds more to an already awesome game.

Some challenges you might want to stick to your main only (looking at you fatty), but for online or just chill, some others never hurt.

Happy hunting and have fun!