If this is a problem for you, I'd suggest changing your options so that gear is not automatically placed into your Armory Chest. That way, you'll know that any gear in your Armory Chest is something that you wear, and you should not sell it. If something is in your inventory, you'll know that you just picked it up and can either place it in your Armory Chest manually if you're going to wear it, or sell it from your inventory.

Look under your System Configuration menu. It's a box you can check/uncheck.