When using a weldment, what is the best way to combine multiple bodies into one?

I assume you are using simxpress which does not allow you to perform simulation for multibody and assembly; anyway, simply search for combine command which also can be found under direct editing tab.

I prefer to make a new parent assembly, start a new in-context part, then start that part with a "join" command.

Solid operations on that new part can complete the weld shapes and the single part can be used in a simulation study.

The part can be left linked to the source parts, or links broken to keep the designer from messing up the saved study.