Everything that has been sad here about purity, tight caps and useing tig is 100% true.
But if you still do burn it through with mig, this is the tool/ a way that will rescue you.
Put this flatly and tightly behind your coming big cap weld and tack. Maeby little longer that normal, you need more stuff cos bigger cap. You just have to practice how to use it.
If and when it burn through molten weld will be flatten in the surface of the copper and sence mig welds wount stick on copper, it will spread around and stick arounding sheetmetal edges and you will be saved. And sence copper is good sucking heat it will cool the weld after as well.
You can weld up big caps and grind them flat after.
Or you can use a piece of aluminium flat or block for withdrawing heat from welds. They work also. If you have a straight edge block of Al, you can use it as welding helpper for 90' angle and heat remover.
Again, this is not the way you want to do it, put its the way you can save stuff when you screw them up.
As myself, I havent never ever needed to use this.

I have heard all this from a friend

,have not
For cooling welds, I have use this kind of simple but effective device:
Take a normal (coke) bottle, 0.5 litre is just fine.
Take the cap and drill a hole on the top of it, just little pit smaller that the hole in the bottle it self.
Then put a piece of fabric, welding blanket or something that is not likely to set on fire or melt instantly when comes contacting hot weld.
Fill the bottle with cold water and screw the modified cap on. Now you got a welding cooler ready.
Put a tack and with other hand press the bottle (cap first) on that tack and squeeze a bit, cool water will cooled to spot and no excess water all over workplace and yourself.