I have a lot of unheated weapon.
Argent Peacemaker -lv1
Plague Needle- lvl6
Stagger Storm- lvl2
Biohazard- lvl4
Vog Cub cap- lvl5
Lionheart Honor Blade- lvl3
Exalted Honor Guard- lvl8
What should I heat? Or should I wait for gunner update(im interested with that new gun) instead?
Yes, waiting for the gunner update might be a good idea.
Armor doesn't benefit much from heating, whereas weapons do. So always heat your important weapons before your armor.
Definitely stop heating Exalted Honor Guard, and switch to a good shield.
Beyond that, we need to know what your other weapons are. For example, if you already have Blitz Needle, then stop work on Plague Needle.