Do it right and there's no reason you shouldn't do it, provided you're a competent welder. I'd make sure you were a competent welder, rather than a confident welder as I've seen things pulled apart very easily, despite being welded by confident welders

Get to a race meet and look around the paddock at some of the cages and their fixings, or spend a lot of time browsing cage installs online. You could even buy (and read) a book on it - I have a mate who I'll ask for a recommendation - he's bound to have one.....
The main thing is that you follow guidelines for build and ensure you get good penetration (stop sniggering at the back!). Providing you're competent and build it right there's no reason you shouldn't weld a cage up from a kit.