Like Scott said, SWX 2004 has some new weldment functionality (a type of multibody part really) that includes a new method for weld bead features.
Problem is, as you pointed out, complex welds don't work very well (in either the old or new way).
If you are really bent on putting weld beads in your weldment, my suggestion is to use incontext parts and build the welds manually. This could take a lot of time and effort though...