Boni, I don't know if you still need this or not, but I put together a quick video showing you how to join all the objects into a single mesh. This does not weld together the parts, but it will make everything into just one object. Each part is still individually editable, and this process can be reversed.

If you have access to Zbrush and are familiar with using it, then Zbrush is what I personally prefer to sculpt details with. However, Blender sculpting does have the ability to detail objects like this one just fine. So that's up to you. Either way will work, but doing it in Blender will save you a round trip.

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