If you want to weld thin stuff then you really need MIG or TIG. Don't be tempted by gasless MIG, absolutely useless. You might be best to find a second hand MIG, most of the cheap new ones aren't much good. For gas bottles you can buy disposable ones at Halfords, use CO2/Argon, gives a much better weld than just CO2. They only last about 20-30 minutes, but if you only use it very occasionally they will do. The other thing you could consider is brazing, depending on what you are doing. You can buy a mini gas welding set for about £100, I use mine all the time. Will braze or weld thin stuff no problem. Brazing is quite easy to learn, basically the same technique as soldering. Gas welding is more of an art to learn. Depends what you are trying to do. For work where you have the pieces on the bench gas will work fine, but hard to limit the spread of heat. So for repairs to a car for example not really suitable as you will probably damage surrounding paint etc, or set it on fire!