So I got Honest Hearts and Lonesome Road yesterday.
Decided to continue with my mod that is going to include all the DLC's weapons.

When I tried to load them it says "Multiple master files selected for load. Load operation aborted."

Erm... Why is this happening?

The GECK has some serious flaws, and one of them is that you can't directly choose to load multiple ESMs, or by extension assign multiple ESMs to an ESP.
You have to get WryeFlash, and use that to assign the extra ESMs to the ESP, then when you load that ESP in the GECK it will automatically load the associated ESMs as well.
-Edit- Actually, that might not be necessary, and I might have forgotten a step. There's another topic right here on the front page describing how to do this properly: http://www.gamesas.com/topic/1174120-allowing-multiple-master-files/