depends on the type of welding
MIG you are generaly safe with can get away without disconnecting anything. ( unless you put eath clamp on stupid places like engine block ) keep it close and you should be fine, but i doing lots disconnecting the battery is allways a good idea. if welding round eath points i will disconnect the ecu for piece of mind
MMA / stick kwelding , really not a good idea to go near a car with one of these ... disconnection of battery is a must as it';ll more thean likely have the reg pack out the alternator.
TIG if useing scratch start it's as per MIG if useing HF anything with intergated circuits in is at risk discconect / remove the lot
