You may be able to Mig weld... maybe try it on some scrap SS and see how it turns out. And in any case, be sure the person welding is aware of the tubes warping due to heat. Especially with 0.035" wall thickness, you can melt right through that extremely easy. The tabs that hold my outer tubes up are 0.031" thick, they allow it to vibrate freely, and can't take too much power when welding.
The threaded rods are not as visually appealing, do you have a means of threading and tapping? Then you can use solid rods.
Acorn nuts look nicer than wing nuts.