They said they could conjure weapons, but all of them chose some sword or whips. No guns or arrows?
As to the general lack of ranged weapons being used in the film, this probably relates to the style of martial arts used (named Kamar-Taj after the temple) which largely seems to be based on melee-style weaponry.
Since Kaecilius' henchmen were all former acolytes of the Sorceror Supreme, it stands to reason that the protagonists and antagonists would all fight in much the same way, using much the same weapons.
That all being said, on several occasions we see Kaecilius (and his henchmen) creating spears which they then throw at Strange.