The welding option is only appropriate if you have the tool needed for it, the lighter welding is really hard to do and if your printer allows it you could just watch for the moment the spool runs out and push the new filament as the last of the previous one gets extruded, that's what I used to do on my bowden extruder reprap and apart from a really negligible retraction problem on one layer it just works
Or you could go the cool way:
* Use the last of the filament for friction/iron welding to fix or glue 3D printed parts together
* Use it as regular filament with a 3D printer pen to fix 3D printed parts
* "Use it for pin/studs/rivets/hinges in prints." as tjb1 said
* Stock it with your failed/ waste 3D printed parts and use them in a recyclebot later to make new filament or simply melt it in an oven to make plastic boards/injection molding material
* Throw it away but that would be a waste over time