Multi body weldments

Try the Solidworks Weldments tutorial in the Help menu. It covers most of the requirements when using weldments, and is instantly available to you.

One thing I'd advise is you must ensure that each of the structural member sketches you use has the Description property completed before you start using the sketch in a weldment part. The sketch is imported into the weldment, not referenced externally, and if the sketch description is not correct before use, then you'll have a lot of editing later when creating a cut list.