I just put a bolt or short section of all thread in the nut when welding it, haven't had problems doing it that way. I usually just grab an old bolt and use the same one for all of the threads, so I don't mess up new hardware. All thread you can cut a slice down the center of the end and use it like a large flat head screw, and you can screw it all the way down flush with the nut, if space while welding is limited.
Not only does that keep anything from getting into the threads, it also acts as a bit of a heat sink to hopefully not get the nut hot enough to warp.
If I have enough time and forethought, I soak the hardware being welded in vinegar for a day or so to strip the zinc. Keeps the fumes and spatter down.
Just in case you do get something in the threads or if the nut gets hot enough to warp (which it easily can) have a tap handy, or at least a thread chaser if the nut gets too snug.