How do they imbue their weapons with Haki? In the One Piece world, you can give a devil fruit power to weapons (things) by destroying it with that weapon. It seems one can also give haki to weapon, how can they do that? Kuja tribe member Marguerite is the first to be seen doing that. (Chapter 516)
Only Color of Armaments can be given to a weapon. Since weapon is non-living, Color of Observation and Conqueror's Haki cannot be provided. Weapons can be thought of like an extension of one's limbs (although not mentioned in OP, this is usually the case in most manga). Color of Armaments provides an extra layer of hard protection from external injury to one's body. With sufficient practice, it can be used as weapon to attack. Since weapons are an extension of one's body, weapons are given armament protection to make them more lethal.

Also, Rayleigh did mention that Color of Armaments can be imbued with a weapon for more impact. But how it is done has not been explained properly.