I have made them a couple ways, made bolt and thread together mufflers, but these tend to ooze oil. Oxy-acetylene welded both aluminum and steel mufflers. There is a bit of a learning curve to gas welding aluminum. I'm saving for a good TIG welder :o

Stainless steel (thin wall) using silver solder (blue tip...45%,..... cadmium bearing....)
Quite an art to get it right, very easy to overheat but once one gets the "knack" it gives a long lasting end product.
Use a butane torch with a feather flame.