When I play a Lucian and I have a Shepherd on the board, can I equip that gear even if I don't have XP?

No. You cannot equip Shepherd's Heirloom via Weaponmaster if you have 0 XP.

Shepherd's Heirloom's Equip cost is "Spend 1 XP" — there is no [A] (Power) cost to reduce. Per Rule 821.1.c.3, Weaponmaster only reduces the [A] portion of the Equip cost; costs that aren't [A] must still be paid in full. And per Rule 821.1.c.5, if the cost can't be paid, the equipment stays where it is.

Since you have no XP, you can't spend 1 XP, so the Equip cost can't be paid.

That said, if you play Shepherd's Heirloom first (costing 2 Energy), its "When you play this, gain 1 XP" trigger gives you 1 XP. Then when you play Lucian, Merciless, you'd have that 1 XP to spend on Weaponmaster's Equip — the timing works fine for that sequence. But with 0 XP at the moment Weaponmaster resolves, the equip fails.