I came across your enquiry by chance whilst researching my own family history.
The records for the Royal Welch Fusiliers are now held in my place of work - Bodelwyddan Castle & Park (museum and gallery) and have now moved from Wrexham. If you Google the museum name and visit our website, you will see that there is an enquiry form online, it might be worth getting in touch with us? We do charge a small research fee, that is on par with similar facilities in the area.
I hope this helps!