I've done this for the last 25,000 odd miles and it has worked great. There is some further discussion of it here with a photo of Rod Stephens and details of his cotter pin recommendations.
Turnbuckle protection - SailboatOwners.com
I've had cotter rings snag on jib sheets and get opened up into finger snags. Never a problem with the welding rod. I also like the looks of the rod better than the rings.
There is no tape on my boat except the upper headstay fitting which a boat yard worker put on and I didn't notice.