I use to have a Weller soldering gun. I went to Sear and bought a soldering iron for about $10-$15. The difference is like night and day. There are some that are more expensive, all depends on how much you're going to be using it and what for.

Also, like Raf suggested; use flux. You don't need a lot of flux, just a light coat on both the link and the area of the rod you want to solder to stick onto.

Good luck.