Ok lets say you want to connect two barrels together with the physgun. Have your physgun equipped and right click on one of the barrels end and it will create a circle blob now do this to your other barrel where you want them connected. Once you have created one on each barrel you left click and drag one the barrels to the other, when the blobs are a red color light (think it was red) let go and it should snap. You want to make sure that the points meet up.
You can't get the "physgun" (The one used to weld objects together) in Half-Life 2. Supposedly, according to most cheat guides, "give weapon_physgun" (without the quotes) is supposed to get you the gun through the console... but that's a bunch of malarky.
I too am looking forward to welding objects together... just waiting on a mod now since there doesn't appear to be any other solution.
Here's hoping a welding mod shows up soon :cheers: or that I am proved horribly wrong in assuming you can't get it through the console.