new build opinions required

[EddyCurrent]

People do use that method, such as my build here;
http://www.mycncuk.com/forums/gantry...html#post50664

which actually turned out like this;
http://www.mycncuk.com/forums/gantry...html#post52425

Jazzcnc also uploaded some photos once showing a part bolted, part welded frame. I would think that if it's a large and heavy machine it's a good idea to make sides and ends then bolt these sub frames together.
Regarding shimming, there are two lines of thought. The first as you say, and the method I'll be using, is to bolt the top beam that supports the rails, this way it can be shimmed level. Also within this method are two ideas that I've seen mentioned, one is to use standard metal shims, the other Jazzcnc method is to use epoxy putty where the rails are bolted down until level thus squeezing the putty until it sets. A piece of cling film or similar is stretched over one component to prevent the putty sticking it all together.
The other way is to fully weld the frame and use the 'epoxy method' to level the top prior to fixing the rails, you can search the forum for that.
My own take on it is this; if accuracy is your main concern and as such you will likely be cutting metal to high tolerance, then the epoxy method is best. If you are cutting mainly wood and your tolerances are not so high then the shimming method would most likely work, after all the wood will shrink and expand probably beyond a fine tolerance.