I thought approved roll cages required a specific grade of tubing that was supposed to be tig welded? But this contradicts me....
http://www.snoreracing.net/post/05rulechange.htm
I would mig weld using a 'good quality' machine. i.e. not a 115 Volt home machine. What you see at your course is likely a very good machine. 035 wire. All it takes is practice, which, of course is why you signed up...