Your more likely to get chipped carbide tooling doing that sort of thing if the headstock bearings are loose. If your using HSS there is unlikely to be a problem.
Best option to minimise strain in a number of places is to use a slow speed and fine feed to rough it out. I've been known to turn with the back gear in but that's probably a bit extreme for this sort of thing but why not really. Assuming you have the gearbox you can go down to 1.5 thou per rev and also take a decent sized cut. That's 224 tpi setting if your on change wheels. Personally I feel the worst thing to do with work like this is to be ultra cautious. In this case that means more bangs as the things turn round. I'd take cuts of my usual size, get it over as soon as possible and not worry about it.
From round or square? If you need to mill to get the correct square you may as well work from round. If you would need to do a bit of filing from square and no miller square would be the easiest option for a lot of people.
You could also fabricate from all thread and use loctite. I've also seen that done with out. Screw the all thread into the square , file or what ever flush and dot punch around the thread. That does need fairly well mated threads. You could also make the bits for doing that yourself. Probably a good idea if you have reasonable taps and dies. Loctite could still be used but let it set before filing or machining flush and then dot punching.
John
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Edited By John W1 on 24/06/2015 19:21:41