I like the brazed end caps idea. I have an oxy-acetylene torch and a little bit of know-how left over from building a few bicycle frames some years back, and I think I have both brass and silver solder left over, too.
The context for this machine is a fixed gantry layout, so it sounds like a capped tube filled with loose sand might be the best DIY way to go?
I called my steel supplier and they have 8" x 8" x 1/2" tube in regular stock. So altogether this would provide mass, stiffness, no free edges, bolted assembly with the gantry supports.
From a machine performance standpoint is there any difference between through bolted and tapped fasteners? I was originally planning on through-bolting the gantry supports to the gantry tube, but with capping the ends, a tapped hole is more realistic. Unless I only brazed the cap across half of the tube diameter, and used some kind of bolted plate to cover the rest of it.