I initially tried weldless, and had quite minor issues with leaking.
Honestly, if a tiny leak weren't *critical* in my application, wledless would be just fine. Better than that, you can re-use parts if you ever out-grow your current setup.
But I run all-electric, and I can't risk water leaking inside the insulation (or on the electrified parts!!!). Tried weldless, found that Stay Brite solder works much better - once you get the solder joint right. Soldering's a skill, but not as hard as welding in knowledge or equipment. I would NOT use anything less than Stay Brite or Stay Brite 8 for structural soldering, and NEVER use leaded solder. Welding or brazing would make a stronger joint still, but unless you have everything already, high-strength soldering is more than adequate for homebrewing purposes.
At this point, I will never go back to weldless. I can make a very high-strength, leak-free joint that will not wiggle. With weldless, you have to worry about how much tension is on the o-ring, and if you put too much side-load on the connection - oops! you have a leak. Note - this doesn't apply to plastic mashtuns. I treat the plastic walls of those with respect, and have not yet (knock on wood!) had any issues.