The instruction on the harbor freight welder say not to put the plastic rods into the tip, and you don't touch the plastic you are melting with the tip either, you hold it slightly away from the material and let the hot air do the work.
You can get polyethylene rod from Dick at Merrit Marine.
There is a very good with information about plastic welding at Urethane Supply Cmpany's website. They have an entire plastic welding manual that you can download for free - it's very useful. This is the link to their website:
http://www.urethanesupply.com
woodNfish