Welding conduit is a PITA!! Been there done that. The biggest problem is that its galvanized and its hard to get a good clean weld, and of course it smells horrible and don't breath in any of the fumes!
For the money your going to spend on that lightweight thin conduit you can buy lengths of thicker metal tubing. I looked at Lowe's the other day for some ideas to build a rooftop lightbar and they have 2,3,5,10 foot lengths of good metal tubing, both round and square box tubing.