How to Make a Mash Tun
 

I found a site with some good advice but I have a stupid question. How is he holding the copper together? Do you just slide the pieces inside one another?

http://www.zen77887.zen.co.uk/articles/brewing/howtomashtun.html

Some people solder it together. I just push the pieces together and they stick. Whatever works for you.

Yes I think that is so that it can be broken down and cleaned easier.If you are going to batch sparge though you might consider a stainless steel braid from a water supply line. They work well. Another link>
http://hbd.org/cascade/dennybrew/

I used this as a reference for my Igloo ice cube Mash tun

http://www.howtobrew.com/appendices/appendixD-1.html

I think it gives a good breakdown of designing the tun and manifold.