There wont be any added corrosion issues. they are dissimilar metals, but not enough to create an issue. If you are welding it to mild steel, I wouldn't bother using SS wire. When you melt the two edges with the wire, it's going to blend the two. (I welded truck bodys for a few months and we build alot of stainless ones. One time a welder forgot to change out the wire for stainless... all the welds rusted.)
You should diffidently wear a respirator. Stainless is a nasty metal.
You can shape it in any way you want, it's just going to take more effort. Artists have been shaping stainless into almost any shape they can dream up.