Sometimes the best method to create effects in our projects is to use something much like the way it's done in real life. For example, welding. Making things like like they're melted together can be as simple as melting a part or gluing two pieces and melting the joint. Usually, this will only work with plastic, which is a great malleable product. (Fire and plastic get along great for modding, in a controlled environment)
Side note: Heat and pewter (the metal todays minis are made from) do not get along. I tried it once. Pewter is apparently a metal that while it has a higher melting point, it also conducts heat very well. That means that it'll take you a little while to heat pewter before it'll melt, but once the section you're heating starts to melt, so will a large area of the model.
You'll also need something to hold the wire. I've wrapped it around my pliers, loose enough I can remove it, but tight enough that I don't have to use the pliers to hold the wire.
You don't want to hold the wire with your hand. Metal conducts heat and you will burn yourself.
It'll be easier if you use a candle, rather than a lighter and constantly eat up fuel. Just heat the wire over the candle for a bit.
You can try heating it up for a long time, then weld to your hearts content, but a wire will only get so hot, and will cool down, so you don't actually need to heat it up for a long time.
Instead of the wire, DON'T heat up things like pliers, sculpting tools, tweezers, files, etc. It'll turn them black and gum them up.
That's not to say professional = better, because often times (ex: Orks) you'll want the weld joins to be obvious.
In the above example, it looks like the exhaust has been repaired, extended, modified, etc. Yes, you could get a similar effect by cutting the parts up and gluing them back together, but if you don that, you'll weaken the overall structure. By melting, only the outside is affected.