I weld lines a lot. I use 2:1 shrink tubing material, make sure its adhesive-free. Some brands have adhesive in it, no good, messes with the weld and the melting point. I've found grainger has a nice selection of shrink, afterall its a big player in electrician supply, much better than say..home depot.
When it comes to heating the tubing don't use a standard ciggarette lighter, you can, but its a very un-even distribution of heat. The best thing is a heat gun, most line manufacturers use them to make thier line welds. You can get a heat gun for $60 at home depot. This gun gives such an amazingly-even distribution of heat to the tubing and doesn't scorch it like a ciggarette lighter can.
If you cant buy a heat gun, the next best thing is some kind of butane lighter, or small blow-torch. This will heat evenly, much better than standard lighter. You will have to pay good attention to not burn and scorch the shrink tube with this, but it can work very well. Before I had a heat gun I used a butane lighter and pulled off many factory-looking welds.
There are a number of techniques for line welds, and I use a two different kinds myself. Explaining them will require an essay so I wont write it here, but if somone wants details I will PM what I know. Maybe I'll post some pics of welds I did.
For spey running lines, if it has a small front loop I cut it off and then weld what I call a "quick change loop" This is a 6-9 inch long loop so you can put the whole coiled shooting head through for your loop-to-loop connection. Rio and Airflo do this to thier running lines out of the factory.