The title says it all! I don't know how to attach them to Ande's Clone Trooper with Cape. I want to learn how to attach them to the msh properly and how to export it properly so that it works in game. I am trying to recreate Captain Rex! If anybody can point a video tutorial or explain it to me, that would be great.

Just add the geometry to the hierarchy under dummyroot and envelope it to the bone that looks appropriate for it to move with.
Holsters would likely go with the thigh bone and pauldrons would go with the clavicles or ribcage or both.

Thanks Ace! There any pictures you can provide? I kind of need a visual, because I am still trying to find my way around XSI :p

Import rep_inf_arctrooper.msh and have a look at override_texture2

What would I do after I import the msh and select override texture2?

That is your working example or visual as you requested, you inspect it to see how it is set up then apply that to your project.
You can see where the object is in the hierarchy, what bones it is enveloped to, examine the weighting etc.