The "main-line" SW action figures lightsabers are too narrow for Legion TFs to hold. Lego, Mega-Blocks, and Kre-O weapons/tools work alright. MB fit the best, Kre-O is a smidgen too big, and Lego a teeny bit bigger than that. Thin hands that have room to push apart can be made to hold Kre-O/Lego parts, though there's the danger of breaking the little fingers then.
Some of the newer Prime/movie legends have new hands to grab shit like that, but I'd be really careful. I thought Lego stuff would work too & for some it does, but you might have to shave em down for a better fit.