GP nylon faslinks but obviously they wont work in this situation, they are for 2-56 rod.
They come in other sizes.
I use a 4-40 size E/Z Link.
http://www3.towerhobbies.com/cgi-bin...?&I=LXEMG3&P=7
The danger of a screw-in link on both ends is that vibration can back out the threaded rod. One end unturnable solves that; as does a lock nut on a ball-end fitting.