The difficulty in welding metals with an arc welder comes from the fact that arc welders are designed to operate at high temperatures, and if used incorrectly will melt through sheet metal and other thin metals rather than creating a firm weld. Fortunately for the intrepid do-it-yourselfer, there is a way to weld thinner metals with an arc welder. Just be careful and use the correct techniques.
Clean the metals you are planning to weld completely. Dirty metals can cause faults in the welding, and will hamper your progress.
Position the welding arc toward the middle of the "weld puddle" and keep it there. Welding is essentially melting metal so that it reforms into a solid attachment with the secondary metal. Keeping your arc toward the middle of the melted portion of the metal will help protect the metal from the full force of the welding arc.
Weld in a straight line, rather than weaving back and forth or "whipping" the welding wand back and forth. This will keep the metal from overheating and help prevent burn-through.
Weld as fast as possible while still maintaining a good weld puddle. You do not want any more heat on the metal than you absolutely need, as this will help prevent burn-through.
Weld one inch, then skip six inches, then weld another inch. Do this all around the area you are welding. Once you have finished your first set of one-inch welds, return to the beginning and make another one-inch weld between each of the first welds. Continue this process--welding around at intervals, then returning to the start--until you reach the weld integrity you are working toward.