Generally speaking, the fewer different types of material you can use, the better and more predictable the component's performance will be. I would imagine that you would want to use the same mixture of solder as the manufacturer used to tin the component terminals. Welding can expose the component to very intense but localised mechanical and thermal shocks, I think I would avoid that if at all possible. I imagine slow thermal and mechanical "deltas" in fitting are preferable over short, sharp ones - that way fewer stresses are generated.
Depending on the component design, it may be possible to heatsink or mechanically isolate the active part of the component, so that only the relatively inert terminals are stressed.
To echo the comments above though: Read the manufacturer's information, make sure you understand it, and produce a good quality design that adheres to sound basic principles. If it is an important design, you may wish to contact the manufacturer to see if they have any examples of recommended designs.