You'll probably find that welding with oxy-acetylene is ok for welding thin stuff, perhaps up to about 1/16" thick. However, you will have to watch warping. You'll be able to braze a little bit larger stuff, which may or may not do what you want.
The oxy setup is, however, good for heating and bending, or cutting.
If you wish to do heavier welding, then start looking at other welders. MIG is easy to use for general welding. Stick does well if you're doing a lot of thick stuff that needs a lot of heat, or just quick and dirty welds.
And, of course TIG is somewhat like gas welding with electricity.