There are a total of 6 legendary weapon collectibles in Aliens Colonial Marines. Finding all of them will earn you the "I Like to Keep These Handy" trophy or achievement. They will also give you some nice bonus XP to level up faster and of course you get to use these weapons. By holding down the select-button you can see how many collectibles you have found in the current mission. After finding a legendary weapon it will be saved automatically. You can quit the mission immediately without losing your collectible progress.