Personally, I don't leave the joints in the threads when welding, and rarely have an issue. Use something to plug/cover the threads so they don't get weld spatter on/in them. Wait for the metal to cool before trying to thread the joints back in, as hot metal expands and can make the threads too tight. There is a possibility of damage though, so if the joint doesn't thread in easily, don't push your luck - clean the threads with a thread chaser/tap. You can build a chaser from a sacrificial joint (old or used joint is fine as long as the threads are intact) with the proper thread by cutting flutes in it with a cut-off wheel or grinder. I always use anti-seize when assembling the link for the final time.
