Personally, I just use a $200 wire welder I got from China Fright... Overall, not bad for 1/4" and thinner. My next door neighbor, a retired boilermaker, welded up his porch rail out of 1/4" thick tube with one of the little $100 ones - you just have to know your equipment's limitations, and stay within them.
I'm thinking I could easily turn a "wood grenade" sort of thing on the lathe, maybe with a little milling after the fact to square it up a bit. I wouldn't be heat treating it, but would it really need it?