Having done a little more research, I now have a new concern.  Firstly, I think I probably could cut the keyway on the lathe, certainly with the milling attachment, but I could also probably figure out a way to do it without.  With the attachment, it certainly wouldn't be painless, but I don't think it would be bamboo splinters either.  But I have that table-top mill, and although I'd still have to do it in sections, I don't think it would be too bad.

But my new worry is what happens to the lead screw after I cut the slot.  I'm assuming this was hardened at least a bit (maybe case-hardened?), and probably stress relieved - at least until I remove an asymmetrical amount of metal from it.  I bet it's going to turn into a nice bow, and I can't see how I would easily get it back to more-or-less straight again.  It looks to me like a *very* slight deviation from straight might be tolerated, because the driven worm is suspended by bearings that might force the lead screw back into line, but it sounds pretty icky (and I'm not sure, either - I was just going from a drawing, since I haven't taken mine apart yet).

Another related question: how long is the bed of a 36" lathe? The serial card for mine claims it's a 3' lathe, but the bed is exactly 42" long - which is it?  (Just in case I do find a lead screw on eBay...)
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Mark Moulding
South Bend 9" Model C, Walker Turner drill press, Rong Fu table-top mill, "Mini" lathe, a whole bunch of Shopsmith gear