1: You connect the pipe to the header exhuast.
2: There is some engineering involved in the design of these exhaust pipes, they are not just for looks. Different shapes and sizes will have different effect on the engines performance.
3: Soldering method would probably work. I am just not sure how hot these pipes get, and how hot before solder start to melt. But think about it, if soldering is effective in making exhaust pipes, should we see them on exhaust pipes for sale at hobby shops. So I think welding is best.

Not to discourage you, I like experimenting too. What do you want to acquire by experimenting? Is it for speed, or looks?