With all objects forming now a giant editable polygon, go into vertex mode and select all vertices (Ctrl+A). Click the Weld dialog button, then drag the Weld Treshold spinner up to weld the overlapping vertices (or those very close to each other). Don't go too far though, or your geometry will start to look funny. If you followed my numbers in the Array sections, you should increase the treshold until you have a total of 4438 vertices remaining after welding.
Your lattice fence is now done, you can add new layers if you want or just turn it upside down if you think the top part is a bit too rough.
If you want a smoother one, just add a MeshSmooth modifier with two Iterations and you're done.
We have just opened our tutorial directory! Feel free to submit tutorials hosted on your website or other online tutorials that you think are worth mentioning.