Randy writes:

I've done it both ways, main thing is to ground to what you're
welding, if you're welding exhaust ground to the exhaust. If you're
welding on the bumper ground to the bumper. If you're welding on the
exhaust and you ground to the frame, you never know what's rusty and
what path the current will take. If a nice path by way of the o2
sensor through the ECM and back to the frame is the way the current
travels then you just smoked the ECM.

Finally, an explanation for how welding can damage electronics that
makes sense! Note that the way to avoid it has nothing to do with the
battery.