Welders? Any welders on this site?

I'd show pictures of my new welder, but, well, that's not going to work. After 3 months wait, it finally showed up today. It's everthing I wanted, and pretty much none of the things Kyle recommended because he recommended everthing I said I didn't want. :lol:
 
I got some "weldable steel" with red paint on the end from Lowes. I was sanding off the label, and found the gray oxide layer to be quite thick. Is it just an oxide layer, or is it some protective coating that helps improve the weldability?

Basically, should I grind off all the dark gray before trying to weld it?
 
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