Step 1 - Maps, Models and Posing
Load up SFM and choose a map, then load in all the models you will need.
Attach all all the bip_bones from the player model to the item models and zero them all out.
If items clip, right click>Set Body Groups>Hat>None this will take away the hat.
Do this for other items such as the scouts Essential Accessories but instead of hat it is Shoes and Socks.
Right click the player model>Import>Sequence, then choose the animation sequnce you want to use.
Place the player model where you would like it to be on the map.

Step 2 - Painting the Models
I already have a guide on painting items within SFM so I dont want to repeat myself.
However I will note somethings that I didnt in my guide.
The usual reason that the material name you pasted in from the model name is because it is all/multiple class or it has different styles.
Some items have totally different models because of different styles but most just have different materials.
Like the tosslecap, it has (I think) 4 different styles so each one will have a diffrent name, as well as the blue version of the material.
Some material are just plain weird so you may have to put a "_1" or "_01" at the end of the material name for it to work.
With some of the later all class cosmetics they will be in the all_class file of SFM so it will have _scout in the model name so they can be told apart, this however doesnt affect the material name, for example the Gray Banns; the model name for scout is jul13_sweet_shades_scout but the material name is jul13_sweet_shades_1 (again, not sure why the "_1")
My painting Guide

Step 3 - Particle/Unusual Effects
Start by right click on the Animation Set Editor>Create Animation Set for New Particle System>items_fx.pcf then locate your chosen item effect.
List of the TF2 Particles
In my case I chose "superrare_purpleenergy" (Sometimes you dont need the list, it might just be too obvious), I pu the start time at -5 Emission Duration at 15 and Particle System Lifetime at 99, not sure what Particle System Lifetime is but 99 is a good number.
Once you have done that, hit OK.
Your chosen particle effect has not landed in your Animation Set Editor, click the plus next to your new particle effect and again until you get to transform and controlPoint0, just like the hats; lock bip_head from the play model onto controlPoint0 and zero that out.
You may of seen a small white dot move to the head of your player model but no particle effect.
This is a small bug with SFM, but to fix it all you need to do it drag the play-head to the left past the start of the shot, then hit the Up Arrow on your keyboard to go right back to the start, your particle effect should now be visible.
Depending on which particle effect you chose, there may be a bug with yours.
On the Purple and Green Energy particle Effects, there is a really annoying bug, its full of squares...
To fix this problem, right click on the particle effect in the Animation Set Editior>Show In Element Viewer>Particle System, once here right click the green text and at the bottom, select Instance Particle System.
Hit that new plus that just apeared next to particleSystemDefinition and go down to material.
Next to material, there will be something that says "effects\wispy_smoke_add.vmt", here is our problem replace the "wispy_smoke_add.vmt with "softglow.vmt" leaving "effects\softglow.vmt, this makes it look pretty much iidentical to the game. This new material allows Unusual effect combos like "White Energy", which is a combonation of Purple and Green Energy.
Fixing Other Particle Effects

Step 4 - Camera and Lighting
Now I dont know much about lighting and camera shots but The most information I cangive you is as follows.
Right click on the primary viewport>Render Settings.
Uncheck Motion Blur and next to Depth Of Field there is a little drop-down box that says "Use Camera Settings", click that and select any Number between 64 and 1024(I always click 1024 because I know my PC can handle it), and make sure Ambient Occlusion Is also ticked.
For the lighting however I know very little, The guide below will show you how to do 3 Point Lighting, favorite this guide as it is pretty awesome.
Three Point Lighting
Now in photoshop I use a gaussian blur to make a blurred Depth of Field Effect, but I found a really awesome guide which lets you do just that, but within SFM (So you dont need to spend an extraordinary amount of money).
Depth Of Field

Nice One!
Your awesome Team Fortress 2 Loadout poster is all done.
You can tweak it a little if you have some awesome picture editing programs but if you dont need it, your done.
Good luck making more,
cyber-

Thanks to Pte Jack for the Youtube Tutorials and Harus al-Rahid for the Three Point Lighting and Depth of Field Guides, please rate those up!

If you liked this guide and my painting guide please be sure to rate those up to!
Thanks again :)

Finished Poster[i.imgur.com]