FWIW I started out with M8 (but if you buy off the net, be prepared to discard warped rod that doesn't come up to scratch - best go somewhere to buy where you can eyeball)...but have just bought some M10 A2 Stainless (which works out at about £3.87 a metre)....which looks like it'll be much better. I intend turning the ends down to 8mm to fit the skate bearings I have supporting the rod (which in turn are held by SK16 mounts).

Eveyone normally takes a sharp intake of breath when you propose using threaded rod, but it's cheap as chips...coupled with a homemade delrin nut & small backlash compensation in Mach3, I'm getting very decent results.