This how-to guide contains the procedures to Weld two or more Physics Bodies together in the Physics Asset Editor.
Welding
Welding Physics Bodies will make multiple bodies interact as one, as well as lock together the Skeletal Mesh Joints they are associated with. To Weld one Physics Body to another:
Select two or more Physics Bodies using Ctrl + Left Mouse click.
Right-click one of the Physics Bodies to open the Context menu, then under Collision select the Weld option.
Any Physics Body welded to the currently selected Physics Body will show in yellow.