ade,
Firstly my reference was to the use of a heat gun localised around the alloy around the outside of the steel plug, not to welding anything to the plug itself.
If you were to weld a nut to the plug (which I wouldnt suggest) then the plug will get hotter than the alloy. However once the plug temp lowered through heat transfer to the alloy case, there would be a point in the heat transfer process where the plug would be easier to remove than if done at room temp.
Welding anything to the plug is getting really desperate and there are less dramatic ways of removing frozen drain plugs Thats why I mentioned that some members might be surprised how "a little heat" can make a difference when removing steel plugs from alloy casings.