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All good, it can be daunting the first time.
Exhaust gas is used to remove oxygen more so then remove excess fuel.
If the oxygen is removed then there can not be an ignition of fuel.
Yes keep the purge running while welding.
YouTube has some average videos with a nutter using CO2, this is also good to use just not how it is done on the video.
There are also some sites on the net that can assist with technique.