I have a miniature two wire PT100 and need to extend its leads. Given the temperature at which it may operate, I cannot solder extensions. Is welding an option, and if so how do I go about it?
Sure, welding is a good option.
We use a Japanese machine that produces very repeatable welds of fine wire and exotic materials. I think it cost less than $10K USD including the head.
You could also consider brazing the leads with silver solder, which requires little equipment.
I'd suggest using RTD Connectors: http://www.omega.com/pptst/OTP.html
This supports the wire and outer sheath properly.