RoboticsProfessor:
$40 is OK for me. I have a Harbor Freight about five miles from me. Hadn't thought of them.
Hadn't thought of them? They should've been your first thought! 
Another option - not as pretty but can get the job done (though maybe not strong enough for a fighting bot): Soldering.
As long as it is steel, copper or brass, you can easily solder all three using a small butane torch and acid-core solder; just make sure you sand/file clean the edges/areas where you plan to solder, and keep the edges tight. The next step up from soldering would be brazing, but that takes a bit higher temperature and brazing rods. Of course, the next step up is welding, but that won't easily work with thin-gauge materials (though I've given thought to trying to build a small-scale welder using booster caps as the power source, after seeing some demos Electronic Goldmine did with some such caps they were selling).
In a pinch, too - there's always JB Weld...heh.