@Michael McKelvey wrote: "The connection depends on the strength of a set screw in shear."
So...... What happens when you're maneuvering into a parking spot at low speed and have to crank the steering wheel really hard when stopped to aim the wheels? Is the steering wheel going to move out of straight-ahead alignment?
To make that the strongest connection possible without splines, I would get it aligned so you know the steering wheel is straight, then you have a couple of options:
1. Get a steering column clamp similar (or the same, if it fits) as this:
You may have to dig a bit to find a couple the proper size or maybe modify that one. Maybe use one of them on either side of the set screw and crank 'em up as tight as you dare. Keep the set screw on it, too. Not as good as splines, but better than just the set screw.
2. As an alternative, you could drill right through both the outer shaft/tube AND through the R&P shaft where the set screw is and put a bolt right through it. This is riskier since it fixes the steering wheel and if you don't get it dead nuts to where the wheel was before you started, you may need to get it re-aligned to get the steering wheel straight, again. (But it would be a very strong connection.)
Makes #1 look pretty good, huh?