When you steal a horse (or temporary horse) without your saddle, you don't put your guns away. So that's a alternative and maybe also part of the future mod/solution by somehow attaching that behavior to your main saddle. Though sadly nothing seems to be in the works for that. It does help recognizing when you keep your weapons and when you don't, for me it helped ''accepting'' the annoyance. Basically wherever you go through a town / ''safe area'' your guns will be put away until you reselect them again. This only happens then, if you''e just out in the wild, he still puts his guns away, but once you get off your horse they are on your back again. So they never reset out in the wild. It helps to know this so you don't get so annoyed when he puts his guns away after 5 seconds lol. Also you can just equip your knife or anything else and the guns will stay if you really want to.