Weldless has worked fine on both my 10g cooler and 3 different keggles. In my opinion, if you get leaks it's becuase:
a) you didn't drill the hole properly, or clean up the edges
b) you didn't use teflon tape on the theads
c) the supplier didn't supply the right O-rings/washers with your part (never had this happen)
I've bought a weldless fitting from home depot, just brass parts put together on my own. This worked great, no leaks. I've also bought one from morebeer.com, and again no problems. And just lately I ordered a SS weldless ball valve from bargainfittings.com and this was the cheapest and best of all (?!). The only time it leaked was when I didn't tighten one all the way. One quarter turn and all was fixed. I know some people have friends that can weld, but I don't and it would cost me 20+ bucks to get a coupling put in. Instead I just bought a $12 7/8" drill bit from Lowe's and a $20 weldless fitting. Works for me!