Advice from an old role playing book: "The police forces are capable of keeping the peace."
Longer explanation: You have a universe. The universe has rules. It has means to enforce those rules (otherwise, other rules would be in effect). But (for practical reasons) the setting has to be somewhat "stable". Stable always means rules and rules always means someone with the power to enforce them.
Which means you can run around with a very powerful (= dangerous) weapon unless this is 100% OK with the rules of the setting.
Example: In our game, we stumbled over nuclear warheads. And, stupid as we were, we decided to keep them. So we create an elaborate hiding place, camouflage. It was a lot of fun, actually.
But the GM considered the rule above. So without us noticing, a lot of people suddenly had us on the radar: Secret services, the mob, pirates, you name it. Top players in the power games. Of course, we could fend them off a while but eventually, the police noticed that something was going on and 4 hours later, our pretty faces were on every billboard in the universe with the words "Shoot to kill!"
Being friends with a very important person eventually saved our necks without too much collateral (I think a star destroyer was ... err ... "lost"). Alas, when we visit backwater places, we sometimes run into a police officer (or bounty hunter) who remembers the warrant but somehow missed the "forget it, they are innocent" memo.
It made our lives (and the sessions) much more interesting for sure. But from now on, we stay away from really powerful weapons.