Mike is right, the little square box next to the weld command will allow you to set the threshold for welding vertices.
There is currently no way that i know of to automatically weld pieces that are a certain amount of distance to each other, whilst you dynamically drag the model around, although that would certainly be a nice feature to have.
How i usually get around this is by reimporting the model into 3dsmax and placing the vertices over each other, perfectly. Then i select the entirety of the vertices inside the model and hit weld. Using a distance of 0.1 (the default) will usually deal with all of the vertices that are directly over each other, without selecting two vertices and hitting weld, over and over and over and over and over an...
A quick STL check will usually pick out any holes in the mesh afterwards for the (most likely necessary) manual retouching.
A few tips though, if you have an impressively dense mesh, then it might be best to just select the vertices that you want to weld, rather than all of them (i just do this for time). Using your edge mode, select the ring around the open edge, on both sections you want to weld. While holding shift, now select your vertex mode, this will transfer the selection you had inside of edge mode, to the vertices in vertex mode. Using the edgeloop tools (ring and loop) its a quick way of selecting specific vertices to weld together.
My method above is the long version of just using the welder modifier which will also weld any vertices in the mesh based upon a distance that you choose. I never like adding modifiers onto my stack so i do it manually, but it essentially does the same thing as my method, but will allow you to go down the stack and edit the model as it's separate parts. This modifier does require that all of the mesh exist within a single edit poly though, so however you do it is up to you.
Edit: Sometimes when importing from zbrush the model will be a lot smaller inside max than it appears in ZBrush, most likely best to scale it up if it's smaller than the grid. This can be done inside the OBJ importer or manually after you have initially imported it.
