The bolt idea is really good, and a worthwhile point, because that way you will have the threads you need to put a nut on, that you wouldn't using just rod. Make sure you use a Grade 5 bolt, not Grade 8. The problem with grade 8 is that by the time you put enough heat to it to weld it in, you make the metal brittle because of it already being hardened, . .not to mention how difficult it will be to cut the head off of to start with.

On another note, . .the bolt extractors will work if needed, but the key to them is that they will only REMOVE the broken piece, they won't BREAK IT LOOSE, so unless you get the rust broken loose with the heat so that the bolt will come out. . you just end up breaking the extractor, which as Zach said, . .is worse than where you started at.