The windings are copper. The primary windings connect to line voltages, and in welders this is generally 240 volts. The secondary windings power the arc and are much heavier copper windings. The windings are wound on the iron core. There is no electrical connection between the primary and the secondary windings.
Electrical power is transferred magnetically throught the iron core.
A welding power supply also needs a way to vary the power to the arc. There are several ways to accomplish this. One way is to have an incremental number of taps along the secondary windings to draw various amounts of power from. Another is to configure the transformer so that the primary winding may be moved toward or away from the secondary, delivering more or less magnetic flux to the secondary. Another is to vary the pulse width of the line current to the primary winding.