Wimsey apparently has a range of firearms to hand in canon. Leaving aside the unnamed weapon, presumably a shotgun, with which he despatches a partridge in Whose Bodu, he possesses an "automatic pistol" in The Learned Adventure of the Dragon's Head (AKA the one with little St George), and has "a revolver ready" in Five Red Herrings, in circumstances in which the person he may potentially use it on is not apparently aware of the fact*.
In my particular circumstances I am working on the assumption that Wimsey has a bog-standard WWI British army service revolver, which Wikipedia tells me was a Webley Mk IV,V, or VI depending when issued. So I know what it looks like. But how does he carry it on his person, when he's not actually holding it in his hand? Bear in mind it is hot, and he is wearing a linen suit comprised of trousers, waistcoat, and possibly jacket, and he doesn't want anyone approaching him to notice that he's carrying it. Does he have a belt, some sort of holster, or even just shove it in his pocket? Wimsey's pockets do appear at times to have a similar carrying capacity to Mary Poppins' bag.
*And also, that the police don't mind him potentially intending to shoot - or at least threaten - a suspect. As he presumably didn't go on holiday with it, I can only assume it was sent up from London specifically with the idea of confrontation in mind. I must look up whether there is a DLS Society article on contemporary gun laws in the UK, but as my scene is set not only in Corsica, but wizarding Corsica, I am happily able to avoid concern with accuracy on that front.