I think that's a great idea.
I have used acrylic only in the sheet form, and one way to get rid of the rough edges left from cutting is to use a butane torch, a technique called 'flaming'. If you want to bend rod I would think that this would work, but it would have to bend itself over a form. I know that plexiglass items such as a rooftop skylight are baked in ovens over a form, like a big vacuform machine. I don't know what temperature is right though.
Try looking in your yellow pages under "Plastics - Rod, Sheet, etc." If you live in a metro area, someone should be able to sell and advise you.
BTW what diameter rod are you thinking of?
Also, try looking around for Lexan. It's similar to Acrylic, somehow different, but when I would ask to buy a sheet of 'plexiglass' they would always ask if I wanted acrylic or lexan.
I'm sure that Styrene will jump in here and save your day.
Hope this helps, and good luck.
Stinger