Per the chart from Wilderness Survival Guide, characters can learn a certain amount of weapon skills depending on their class and level. I also allow weapon proficiencies to be bought with Character Improvement Points (with a combined upper limit of the character's Intelligence or Wisdom, whichever is higher).
Note that these proficiencies can include martial arts (such as karate and the numerous others that exist), and can include special proficiencies that are more complex and powerful than simply being able to use a weapon without penalties (or, in the case of specialization, with bonuses and increased rate of attacks).
In order to invent such a skill, the character must present their idea to me. I will then determine if this is a simple proficiency, a complex proficiency, or a master proficiency.
A simple proficiency would be something very basic, which a character might research because there is no teacher available, for example. This would generally be just the use of a weapon without a non-proficiency penalty.
A complex proficiency would be the use of a specific weapon in a special way, such as a parry, throwing a weapon not intended for such, feinting, disarming, weapon breaking, overbearing, and the like - actions that could be generally classified as 'exists in the real world'.
A master proficiency would be a skill that gives some extraordinary ability. A person can only create (or learn) such skills with a weapon they are specialized with (double specialized if allowable), have as a Weapon of Choice (cavalier and paladin), or have as a Deity-preferred weapon. (Thus, mages, illusionists, thieves, assassins, and barbarians cannot create such.) Such skills include actions for which there is no real-world equivalent, such as striking multiple opponents with a single melee swing, shattering magic items due to skill and/or strength, catching missile weapons, and that sort of thing.
In order to invent a new weapon skill, the character must invest time, money, and Character Improvement Points. A simple proficiency would generally take a week, 5 CIPs, and 100g (spent on consulting and research, on using up weapons while practicing, and so on). Such a proficiency will use one weapon proficiency slot.
A complex proficiency would generally take a month, 10 CIPS, and 1000g, spent as above. Such a proficiency will use two weapon proficiency slots.
A master proficiency would generally take two months, 20 CIPS, and 2000g, spent as above. Such a proficiency will use four weapon proficiency slots.