I've seen lots of bumpers converted. A little less cages done, but still quite a few. Frame rails, I'm still not sure I'd bother with them, too much flex unless you beefed the hell out of them, and they have lots and lots of holes.
Welding for strength (or just keeing 2 pieces of metal together with a smooth, even, consistent bead) is different than welding for pressure (or so I'm told). If just laying a decent bead down and it's good and sealed was all you had to do, few should have any problems with it - with any application. I've heard alot of stories of welds not holding pressure, even from (so called) professional welders (was a really high pressure application). But I'm not saying it can't be done with patience. I suppose if you were good at welding it wouldn't be a problem for a small air tank like a bumper.
Bumpers and Roll cage are ok, I still would recommend not bothering with the frame rails. If you want the extra air, just get a secondary, smaller air tank and mount that.