I have done it back in the day. It's a real hassle. And I went to the trouble of designing a proper heating and aligning tool to do the job. I could produce a smooth and pretty good splice. The trouble with it was different brands/colors of filament were always iffy about staying welded due to the additives. While it mostly worked, the welds could break just often enough to piss you off. I finally gave up on trying to make a reliable product happen.
Automatically switching spools on runout is the one thing my AMS lite is really, really worth having. It's why I bought my Mini combo a year ago.