In theory:

Could one attach a soldering pen to where the spindle should be, and device some sort of solder-feeding-thingy to use a cnc machine for auto-soldering?

Shouldn't be so hard, should it? :)

Christian...

You should be able to. The feed mechanism could easily be built with a mal 3v motor a switch, and some other miscelanious parts. As far as attaching the soldering assembly to the cnc, you could make it all attatched to a small piece of bar stock that goes right into the chuck. You just have to make sure you don't turn on the spindle with the soldering assembly in.