- Swords could be that one sword Rinnosuke found in one of the canon stories.
The Kusanagi sword? Sure, make the Three Sacred Treasures a set while you're at it (mirror as shield, jewel as amulet, probably for paladins)
As for skill sets...I guess it would be flavored as the heroes learning the techniques of various touhous (i.e. Meiling Dragon Style, things like that). Here are some ideas.
SorceressMarisa (raw blasting, movement skills)
Alice (various kinds of doll pets, artful sacrifice, neat utility stuff)
Patchouli (fire/cold/elec stuff)
Mima/Byakuren?
NecromancerOrin (gets zombies)
Medicine (poison stuff)
Komachi (scythe specialist, melee skills?)
Yuyuko?
BarbarianSuika (bashing, maybe some kind of booze health recovery thing?)
Murasa (water-themed if possible, aoe stuff, whirlwind)
Tenshi (earthquake stuff, sword-focused?)
Rumia?
AmazonShou (spear/javelin skills)
Eirin (bow skills, plus support stuff?)
Youmu?
PaladinReimu
Byakuren
Kanako
Suwako (easy to decide what kind of characters Paladin should have, not sure what they should do though)
AssasinSakuya (knife-focused, throwing and stabbing, teleportation tricks?)
Meiling (martial arts stuff)
Nitori (traps)
???
DruidNue (shapeshifting)
Yuka (plants)
Iku (storms?)
???