I'm about a year ahead of a bunch of you, and to keep you pointed in the right direction, I'll offer some comments. But in truth, each bullet involves a substantial amount of research and experience with your printer, or rather, the software tool chain from model and/or conception to the printer.
1. Thingiverse does not insist on their "things" being printable. Myminifactory does. Keep that in mind. I downloaded a Star Trek Enterprise Bridge from thingiverse. Simplify3D told me it wouldn't fit on my printer. Hmm... why? Cuz the model was 32 meters across. Yup, full size. Scaling objects is one of the first skills you should master in the CAD/Slicer/Printer sequence.
2. Finding good models for printing Cosplay props is tricky. I've successfully printed a Star Trek Phaser Rifle and a Halo Covenant Carbine. Not saying I'm an expert now, and I had NO skills when I first started printing. I was happily printing components to the Phaser Rifle until I ran into an STL that wouldn't fit on the printer. (Yup, from thingiverse). First I had to figure out how to chop up the STL file, secondly, I learned how to place the sub-component so it would successfully print. And this was just chopping parts in half.
3. Phaser rifle tested my skills in terms of successful prints. I got every issue imaginable. Base (where the print lays on the build plate) print warping, underhangs requiring supports, filament selection, nozzle clogs, broken stepper motor, build plate preparation, buying aftermarket build plate/s. The biggest issue is if you have a complex print more than 1 cm tall and occupies more than 50% of the build plate, either by surface area or in either of its width or length dimensions, you're going to get warping with PLA. After changing filament brands, careful note taking on temperatures, buying an aftermarket build plate, I was able to successfully print the main body of the phaser rifle. Oh, and after carefully cutting the STL file into sub-components and arranging each print on the build plate for highest likelihood of a successful print.
4. Warping is a bitch. I had been printing for months, thinking my parts were perfect. After the phaser rifle exercise, I discovered that some parts had a tiny, but noticeable warp in the corners, even with my go to filament (Makergear black PLA). Half a millimeter is amplified when you butt parts up to each other, and you now have 1mm gap between them. If you plan on just printing, gluing, gap filling, and painting, this is less of an issue.
5.Even projects that are guaranteed to print, as the Halo Covenant Carbine came from myminifactory, there can still be challenges. There is a big part that is the equivalent of the receiver body on a human weapon, that consumes alot of filament and print time, occupies a large fraction of the build volume, needs tweaking of the build support configuration in the slicer so the bottom of the print is not one big mass of support material, and does not have one surface that is truly flat, so you have a solid connection between the print and bulid plate (meaning warping issues). I used an entire spool of filament understanding how to resolve print warping on the phaser rifle. I used most of a spool figuring out how to arrange parts for the Covenant Carbine. Maybe I should just plan on glue, gap fill, and paint.
6. My hobby background is in scratchbuilding, and I really like it when details "pop." So for those folks who have sculpted a Cosplay weapon out of a hunk of pine, or scratchbuilt a weapon, produced molds, and are casting resin copies, my hat is off to you. I've seen amazing models on this forum. 3D printing would suggest one should be able to take a CAD model, and make changes to it, like, making the safety on a prop rifle operable, or heck, the trigger work. But as was observed above, many of the game source files are not sufficiently sophisticated to make that a reality. So think carefully about your goals for any project.