hmm *Cough* Im assuming you are createing all teh polygons (or faces as they should be called) by hand and are wanting to get all the vertexs to weld. although they should all be welded together anyway sicne you would have built teh faces up from each other so there all connected anyway but i can see that if you made some thing you would have a seam eventualy that would need to be welded.
In the modifiers/>Edit Mesh/> options select the vertex tool and make a selection from all the vertexs that need to be welded (they should all be touching there corresponding vertexs or be very close) then set the Weld Vertexs Spinner to around 3-4
(adjust it dependant on teh size of the mesh you have since 5 might be to big if you made the mesh small compared to the worlds scale, if you did then you might weld all teh vertexs into a single on rather than them just welding to there nearest neighbour.)
and hit weld all vertexs should join with there nearest neighbour into a single vertex removing the seem if you get some vertexs welding ith ones they shouldnt reduce the Weld threshold down a little. Or if Gmax has it which it should the Weld Target button...
you click teh button and then slect the vertex you want to weld and drag it over to teh vertex you wish to weld it to and it will then snap and weld to it... which is easier but more time consuming than normal mass welding.