it's really boring. seriously. you can spawn objects and 'weld' them together, to make cars and stuff, but the welding sucks and if you move anything with the physics gun, all the welds move around and get tangled and whatever you built is now entirely useless.
You aren't building right, obviously.
My suggestion: If something isn't supposed to move, weld and freeze it. Freeze it so that it is easy to walk or jump on, weld it so that if you unfreeze it on accident it doesn't fall.
If something is supposed to move, and there are more then two things in your contraption, then weld everything together. For example, suppose you have a contraption built out of components A, B, and C. Weld A to B, B to C, and C to A. It makes it a lot more stable.
Finally, little detail things should be no-collided with whatever they are welded to.