ok first off...welding is a good idea, but you are almost better off getting a keyed shaft. if you need to move or fix somthing with the gear and shaft you can easily take it off and reset it. using keyed shaft is just as good as welding. also if you are looking for tensil strength and other good information on metals,plastics, ect... go here
http://www.matweb.com/search/SearchSubcat.asp. and yes DON'T use set screws very bad.