The simple answer is ask your GM.
Seriously I've seen this go as many different ways as the number of GURPS games I've played. The crux of the question is usually, "Can I still use the traits of the the equipment I have when I'm in my other form?" or "Will I still have access to my equipment when I change back?"
IIRC the Basic Set gives no direction on how to rule on this for the GM but there maybe some suggestions in Powers.
I do know that for the spell Shapeshift clothing and jewelry "vanishes" and backpacks and carried items drop. While it does state that magic items are undetectable it does not say they are usable.
Heck, different PCs with Shapeshifting in the same game could have equipment "go" different places based on how their particular ability works. As a GM you might handle this as Enhancements or Limitations on the Shapeshifting ability or the equipment. Were-creatures might drop everything and shift back in the nude, whereas a Witch might be able to take up to a certain weight limit based on her skill level.
This doesn't help at all I know, but the only real answer is only your GM knows (which is why I love GURPS!)