Now that I have a 3D printer (M3D The Micro), I figured I'd do it properly.
…I said that lightly, but the parts are tiny, and getting the fit precise enough for both the LEGO and the shaft was genuinely difficult.
Here's the pile of failures. There were actually about twice as many that didn't even hold their shape — this is just the printable subset.

Designing the 3D Model
I used Autodesk 123D Design — free, and capable enough for simple shapes.

The main part is the rod in the middle.
Tamiya Shaft End
The hexagonal hole on the right matches the Tamiya shaft's cross-section.The hole is hexagonal; the outer profile is octagonal.
The LEGO side is cross-shaped, so making the Tamiya end octagonal means the flat faces connect cleanly — which avoids print artefacts.
Matching the overall diameter to the LEGO round-hole parts serves two purposes: it prevents the part from sagging under its own weight during printing, and it seats tightly in LEGO round-hole pieces.
LEGO Axle End
The cross-shaped end at the back fits into the cross-shaped holes on LEGO gears and similar parts.Cross shapes tend to deform slightly during printing, so I dialled in the tolerance in 0.1mm increments through repeated iteration.
Square Anchors at Both Ends
The flat squares at both ends exist purely to hold the part in place during printing.This shape has almost no contact area with the print bed, so without the anchors it lifts off mid-print and fails.
Adding flat plates at the ends means even if the part lifts, it stays attached to the raft.
It took me five days to figure that out.
Printing
I used the standard M3D software.

Material: ABS.
PLA warped too much under its own weight, and was too hard to trim with a knife.
ABS tended to lift from the bed during printing, and printed pieces standing vertically would collapse into a mess.
The solution: use the square anchors to keep the part from lifting, and print it lying flat. That finally got a clean ABS print.
ABS may just be better suited to shapes that are long horizontally. The one caveat is that it can warp and peel off the bed as it cools — something to plan for.
PLA seems to handle almost any shape to a reasonable standard, but fine details tend to be fragile.
Finished
The completed print. One 2.5cm rod takes 45 minutes.

The bumpy structure underneath is called a "raft" — a base layer printed first to improve adhesion.
In this case, the raft connects to the main part only through the square anchors at each end.
Pull it all off the printer and it looks like this:

Clip off the square anchors with nippers and here it is. Not a piece of activated charcoal.

The LEGO gear and Tamiya shaft connect cleanly. After all those iterations of adjustment, the fit has no wobble at all — no post-print filing needed.

Here it is running. There's a slight wobble in the shaft, but it's within usable range.
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