The coupling nuts proved to be a significant challenge... namely, I couldn't find any of the little buggers here in Brisbane. Bunnings didn't have them, the local (smaller) Mitre 10's didn't have them, and after MsJaye mentioned that her Mitre 10 did have them... I discovered that the big Mitre 10's further away from my residence did not have them either. Le Sigh.
I would be taking up MsJaye's kind offer to send me a couple, except that I think I have a potentially superior solution.
A big problem with the coupling nut is backlash. The nut must be loose enough that it can be turned on the threaded rod, which unfortunately also means lower accuracy in positioning it. I was thinking about using a few nuts together to simulate a longer coupling nut, when I realised that it could significantly eliminate the backlash issue. Tightening one nut against another pushes each nut to engage a different side of the thread, which means lower backlash. By taking two nuts tightened against each other in that fashion and capturing them in a bracket, I would get a tunable anti-backlash nut.
Obviously the earlier tradeoff works in reverse here - the more backlash that is removed by tightening the nuts, the greater the friction is. Minimal friction is important, so I only tightened the nuts very lightly by hand, giving me something similar to this photo:

Note that the nuts do not necessarily line up when tuned; it depends on the nut and which way around it was put on the thread. In fact, it is probably an advantage to be offset; when the nuts are captured in the bracket the hex shape will ensure the nuts stay at the same position relative to each other.
The capture bracket is made with (drumroll)... capa! It took a few iterations. I roughly formed a bracket by hand the first time, but that actually used 4 nuts. I decided 2 nuts was sufficient and disassembled it. The second time I took ages forming a bracket mould using modelling clay... and the result was massively oversized, ugly and completely unusable. It took a long time to cut the nuts free to boot.
The third iteration saw me roughly moulding it by hand again. Pressing it up against a cold metal support beam in my kitchen gave a decent flat on the bottom side. And when I was done I had a couple of these:

I said capa acts like chewing gum; so it shouldn't be a surprise that many things made with it look just like they were made with that self-same gum. In any case, this was only the initial state. The capa which formed around the threads at the sides had a lot of friction, and... well, the ugly thing looks like it was made out of gum. I used a hobby knife to clean it up and remove the excess capa from the sides:

A couple of holes drilled slowly (and not terribly squarely) into the sides and I had my coupling nuts. They're very smooth moving on the threaded rod, and the backlash is imperceptible by fingers. I may find I need to remake these with tighter nuts once the mill is finished, but it's a pretty simple task. Additionally, one of the brackets allowed the threaded rod to wiggle a bit side to side; I used this for the long X axis, and I hope the extra play (which doesn't appear to affect the backlash) will help prevent the thread from binding when it's in use.

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