According to http://forums.spiralknights.com/en/node/20948 I've concluded that it's not possible to do this yet, so it's a suggestion now.
I'd love to be able to set certain weapons at certain hotkeys. The scrollwheel is too sensitive and it's confusing to use it efficiently.
Example of a setup:
Z = Levi
X = DA
C = [random gun]
V = [random bomb]
(Atk is RMB, Walk WASD, Shield SPB)
[Edit: Those keys are all of course customizeable, this is just the setup I will be using myself]
It's a lot more efficient and clear if you need a certain weapon.
Ever liked how you change your weapons? I've never did.
Leave it customizable for players to tinker with to their own style. I only use 2 weapons, but I know how frustrating things like this can be.