Once you've found the first level of a particular weapon upgrade, you can apply it to any weapon of that type. However, it's possible to find weapon upgrade upgrades which replace the original version with a better one. For instance, "Assault Rifle Magazine Upgrade" will be replaced with "Assault Rifle Magazine Upgrade II"
My question is, do I have to go to the weapon selection screen in order for these improved upgrades to take effect? Or is the change immediate if I'm using that upgrade and I find an improved version mid-mission?
Sometimes I'll find a weapon bench or another weapon that gives me the option mid-mission to visit this screen, and if I need to in order to benefit from the upgrade, then I should, even if I don't plan on changing my loadout.