Warhammer: Vermintide 2 does a lot of things right, but crafting isn't one of them. One of the new additions to 2018's sequel is the Illusion attributes to your weapons, which is in no way, shape, or form explained to you in the game.
Turns out Illusions are just a fancy roundabout way to say "weapon skins", and we're here to teach you what to do with them and where to put these Cosmetics.
What Are Illusions
Illusions are Vermintide 2's roundabout ways to say "weapon skins", which allows you to remove it from one weapon and keep it's look, even when changing to a better version of the same weapon or another weapon type entirely.
Each weapon has a number of subtly different skins that can be spawned when its obtained, and a weapon with the Illusion attribute can have it removed. So if you really like that level 9 flail's look or wish your axe was a two-handed sword, you can take a specific Illusion and apply it to new items to make it so.
Illusions can not be crafted, but only found in earned weapons. They are represented by a purple "Illusion" tag below the item's name, and can be extracted from the item at a Forge.
To access the forge, enter your inventory in the Keep and navigate to the "Crafting" tab. There, you need to click a somewhat inconspicuous "next" button (circled in red in the picture below) to cycle between various crafting menus.
Removing and Applying Illusions
To remove an Illusion from an item, you must navigate to the "Extract Weapon Illusion" page and double click the item to place it in the slot, before spending scrap to extract the weapon skin. That will put the Illusion in your inventory, and allow you to apply it to another item.
From there, you can go to the next page, titled "Apply Weapon Illusion", and spend more scrap to apply a chosen Illusion to a single piece of equipment. You can repeat this process as many times as you like, as long as you can pay the scrap cost.
And that's how you deal with weapon cosmetics in Vermintide 2. If you want character cosmetics, you're out of luck -- hats only drop in chests (and have a very low chance of doing so), and two unique character skins are available for Collector's Edition and Vermintide 1 owners, respectively.