It is trickey, due to the fact that it conducts heat so well. One second it is not hot enough, and the next You have melted a big hole in it.
You need a flux that will work on aluminum, and practice a whole lot before You try anything that matters to You.
Here You can see it being done
http://www.youtube.com/watch?v=Mwznk009mQs It can be done with a normal torch, if You are good enough.
Notice I am not endorsing the DHC torch. It will do all they say it will, but it doesn't do it by itself. My guess is the guy doing the demo can do wonderfull work with ANY torch. I have a much older one [Dillon] and can say things are not as easy as they look on the video.
OAW aluminum is sensible on 1100 alloy work that will be hammer formed after welding, if You get good enough at it. Other aplications as Lawrence said are better done by other methods.
For what it is worth, aluminum stick welding is not one of the better methods .