TIG MIG or SHTIG
you CANNOT weld steel to aluminum. Therefore, all SCCA legal cages for Elise/Exige that do not required destructive testing, as per regulations, have to be bolted in. How you do the bolting-in is a very interesting question. If the cage is designed properly, it would significantly increase the stiffness of the chassis.
The question about testing is mute. SCCA mandates a certain steel design. They know it works, the tube diameter and thickness is all spec'd out. So are the main hoops and bars. The trick is to use chrome-moly to make it even lighter or stiffer. Most people do not spend the $$ and use mild steel. It has some advantages, as well i.e. does not sheer with sharp edges most of the time.