Please note that starting July 8th, 2013, new followers that you want to follow back must be individually approved using Followers/Friends, Vet Followers/Friends in the menu. This change is required by the July 2nd, 2013, change in Twitter’s rules.
If you elected to follow-back and send auto-welcome-DMs, then auto-welcome-DMs will be sent to all new followers (within Twitter’s DM sending limits) regardless of whether you approve the followers for follow-back or not. In other words, the sending of welcome-DMs is not influenced any longer by any decision you record on the vetting page, it happens regardless.
If you elected to only send welcome-DMs and not follow back new followers, then there is nothing you need to do. The sending of welcome-DMs will continue as before.