depends... how far are you bending, how thick is the pipe?
heating works fine if its only a few degrees, or you can stretch the bends across a few inches of the pipe. other wise the tubing starts flattening out, or kinks...
a pipe bender of some type with properly shaped formers if you can get the pipe into the thing.
the cut and weld is ok if you can weld thinwall tubing neatly, and dont try for huge angles on each section. much easier with heavy wall tubing. cut out a section on the inside, and weld it into the outside of the bend...
i normally, if its only a litte bend, just hold one end in the vice or on a piece of bar etc and bend away. steel is amazingly resilient. if i go too far and the pipe starts flattening across the bend, i just squash the flat section back by...putting it in the vice again! then the tube ends up sort of square in section, but hey...who cares... the pipe goes were it should now.
and theres the heat and kink method, you need an oxy/acetylene torch, as the heat is extremely focussed on one point. you simply heat a small section on the inside of the bend to red hot, and when bent, that hot(and now soft) part kinks outwards. you see that used a lot on large bore gas lines etc. done properly, the kink is on the outside. done badly, the kink is on the inside and restricts flow... it ends up looking a bit like this if done properly...
each method has its pros and cons...