Well there you go a simple but complex question, do or don't, lots of good advise. I would not do it if there are other options. One option would be to use 2 v blocks or angle iron, depending on the precision required, to center the 2 rods, shim the the blocks till the rods are centralized. Tack weld and turn 180 degrees, and weld, then finish weld all around. What's not mentioned is the size of the rods or the length. Are the rods 1/4 " or ?. Bigger the rod the easier this would be to shim to center. Then turn the weld down in the lathe.
Just my opinion.