Whoa there. Drill rod is supplied in the annealed state. From the supplier it's no more bend resistant than the mild steel you got from the hardware store. It's simply ground finished to a higher accuracy for size. So it's not going to gain you a darn thing for use in the jig.
And even if you get it heat treated in the long lengths it will still flex just as easily. It's just that it won't hold the bend. It'll spring back. So you will still want to consider tricks for supporting the rods at a couple of three spots in between the ends.
The only way to make the rods stiffer is to go up in size. Flexibility is based on the tensile and compressive moduli and the physical size. So to make the rods stiff enough to use without additional supports you either need to find a much stiffer material or you need to go up in diameter by quite a sizeable difference.