A trick I have used in the past is to use two polarising filters, and rotate one against the other. It acts like an infinitely variable ND.
Most small scale welding though won't effect the camera that much, just use the on board ND filters, and if you can, set the gain to the lowest negative setting. The worst thing to happen with using a CCD camera is that you may get a vertical smear line at the point of the weld.
thank you for the suggestions! i have one polarizing filter and can get a second. i know what you mean about setting them at 90 degrees to each other. or something close.
but there wasn't a burn out problem with the chips inside the camera? i was warned there would be, when i was shooting a different welder with my canon rebel (still camera). but that was after the fact. so if i blew out stuff, i blew out stuff.
You'll have to be careful about how intense the arc is. You don't want to be exposing for the ambient light in the room and be fully exposed to the arc when it gets going. Use some foreground or something to break up the intense light.
I have seen some older CCD's suffer form pixel burn out when exposed to high intensity lasers, a welding arc is just as intense so some care is always warranted.