Hello Tony
What's the application? Is it something you will adjust frequently or is it a fit and forget job? How much time and effort do you need to spend on making it?
Slitting the "dark" is a good way but be careful if using cast iron outer and the bar is a loose fit as it may break when you tighten it up.
There are quite a lot of ways of "claiming" the bar; I suppose the simplest was of clamping is a grub screw or similar. However unless you take precautions it will mark the bar, and it will also tend to force the bar slightly out of axial alignment – how much will depend on the clearance between the parts.
I imagine by your "2 part cotter pin and bolt" that you mean those split clamp affairs. They're good, and give excellent clamping. They don't mark the bar, but again they do tend to force the parts out of alignment as the grub screw does.
Another way is some kind of collet arrangement; tightening this up will give an excellent grip and maintain concentricity if you've made it correctly.