When I add a weld with Instance.new("Weld") I always follow it with Part0 and Part1. Can I continue with Part2, Part3 etc. to weld multiple objects together, or do I need to add separate welds to each one?
Sadly, you cannot. I have just attempted this with studio to be sure. You instead have to create separate welds in each part that weld to one main part.
You can make it a model then weld the model but you can't have part's inside of part's in your model So you might need to do some scaleing or negateing