In this work, the proposal and appraisal of a method to describe in a quantitative manner the phenomenon of thermal stresses formation in welding at different heat-affected zone (HAZ) regions and under different cooling rates, by means of physical simulation, are explained. Under the denomination of welding thermal stress diagrams (WTSD), initially the concept and experimental arrangements needed to use the idea, based on a Gleeble simulator, are revealed. An approach to determine more realistic thermal cycles (peak temperature and heating/cooling rates) is introduced and applied. The method assessment was carried out by using specimens of a HSLA quenchable steel subjected to different cooling rates (covering a wide range of typical welding heat inputs) and peak temperatures (representing regions progressively farther away from the fusion line). The different thermal stress (TS) curves proved the concept based on the justification of the results. In addition, it was physically demonstrated that TS curves are governed mainly by two complex concurrent phenomena, namely contraction under restriction of heated areas and the expansibility of phase transformation. It was concluded that due to this balance, the highest residual stress (RS) does not occur either at slowest cooling rate or at fastest cooling rate. Nevertheless, the highest RS may not occur at the coarse grain zone either. TS progressively drops along the HAZ regions away from critical regions, and even at sub-critical regions there is tensile RS. Complementarily, it was also concluded that WTSD by physical simulation allows one to determine the deformation behaviour of a material as a function of temperature. This information can be used as input or calibration in modelling for thermal stress generation in steels.