Alvin,
Yes, the smell of burning flesh and the realization that it's yours
I did a welding course (even got my welding diploma) when I was getting into serious car restorations. I must say it was a great help to learn what tools were needed, what could be done and what shouldn't be.
For the car projects (thin sheet metal) I settled for a MIG welding set. The first MIG welder was useless, and with some luck I bought an almost brand-new (used once for testing) professional MIG welding kit that takes the industrial style wire. Another good investment was an LCD-welding mask (the one that automatically shields you when you start welding) and a pair of very good welding gloves.
Since I managed to burn myself regularly, even with mask, gloves and fireproof welding suit on, all I can advise is: be careful
I like the TIG welding kits, as they seem to allow one to work in much more detail, which is a big plus when working on gun material. What still scares me is the result welding has on the properties of the steel itself. A piece of car sheet metal doesn't have to take the pressures that a gun needs to handle... (unless crashing into inanimate objects is your thing).