You either put config files in:
tf/cfg/autoexec.cfg
or
tf/custom/myconfigsfolder/cfg/heavyweapons.cfg
the 'myconfigsfolder' is a name you can come up with yourself that still make sense and contains a 'cfg' folder in which you put your config files.
Note that a config file in /tf/cfg with the same name will overrule any file with the same name in your the custom folder structure.