Certainly weld them, but I'm in the "don't screw around with the nail heads" camp. Sheet metal patching doesn't require much heat and the metal doesn't get very warm more than a couple of inches away from the weld. Use short bursts to fill the hole, then give it one continuous swirl to smooth it at the end. you'll end up skimming it with a filler 90% of the time anyway. I'd recommend using a ball peen hammer to slightly indent the hole bfore you start the welds.
The nail heads trick is/was a good one, but with a modern MIG welder its dated - EXCEPT ON SUPER THIN METAL... My Lincoln does great with .030 solid wire, 70/20 mix, "C" on heat and just over "3" on wire speed. I welded the grill to the fenders with several long beads and got surprisingly little warpage.