I have found out some technical information about this.
While I haven't had specific items I'm wearing vanish, I do have experience with vanishing chests, here is what I know:
Chests register their weight as ZERO when they are open, and they register a real weight when they are closed.
I have had the dark brown, large flat topped chests vanish if you drag them into your inventory, and then place them back on the ground. This also happened with the light brown, circular topped chests. It hasn't happened with any other type yet. I've tested with a few others but nothing happened to them.
So, the idea is, you can cheat on the weight by leaving a chest open and putting stuff in it and then putting it in your inventory, just don't put it on the ground when open in your inventory. I have lost chests full of stuff this way, including the dragon shield (I just reloaded, I wouldn't tolerate losing something like that).
I also discovered some sort of clipping problem when chucking multiple chests several screens away, walls appeared where the chests should have been. (Did you not know you could scroll with the shift button and hurl objects across the world?)
There is no guarrentee to anything, save often, and reload if something occurs.
