Unlike single-player, multi-player Dawn Of War II has no leveling element. The squads you have are truly nameless whoevers, as is often the case in RTS games, and their existence throughout different games is not persistent. As such, Wargear can't be collected like in single-player and isn't out-fitted before the mission. Instead, each type of squad has pre-determined Wargear options already available, and those options can be chosen in exchange for resources. There are also many tech level restrictions. This same system applies regular squads and to hero units, but hero units have far more Wargear options and their Wargear acts a bit differently, as will be explained.
On normal squads, Wargear is simply a way of upgrading your unit. The Tactical Marine Squad is a perfect example, due to its multiple Wargear options and how greatly the Wargear you pick effects what the Tactical Marines can do. When you start the game you have a single option - flamethrowers. If you have the resources available to buy flamers, and you do so, then that is the weapon the squad will be stuck with. You can't change to Missile Launchers later on. You can add a Sargeant, however; not all Wargear upgrades are exclusive, but weapon upgrades usually are.
Wargear works differently for heroes. Like with regular squads, you must pay for Wargear, and some options are locked until you've researched the appropriate tier back at your HQ. Once you pay for an upgrade, you will gain access after a short interval. The Wargear cannot be refunded, but it can be changed out. Let's say, for example, you have an Eldar Warlock. Early on you encounter a Force Commander with a Iron Halo shield, making him difficult to take down. In response, you buy the Merciless Witchblade Wargear upgrade, which has the ability to drain energy and thus take down the Force Commander's shield. However, you find yourself getting swarmed by Tyranids later in the game, and wish you had the Witchblade Of Kurnous instead, which has a great AOE attack. No problem! Just buy the Witchblade Of Kurnous, and you can use it. What's better, you can switch between the weapons! This is often missed by new players, but it is very important. The only penalty for switching is that it takes about twenty seconds to switch between the weapons. The same is true for all other pieces of Wargear. If what you've originally bought simply isn't working, then change it out for something new.