Thanks to everyone that responded. After much trial and error, I now know what I was doing wrong.
1. I wasn't closing both ends of my rods with Extrude+Scale to center+Remove doubles
2. I wasn't using the Edge Split modifier (I didn't even know it existed)
3. I had the 2 'rod halves' touching each other; there should be a tiny gap between the 2
So, if anyone else wants glass beside glass in Indigo (I like caustics), please do the 3 things above, and don't forget to RECALUCLATE NORMALS OUTSIDE with Ctrl+N.
These are more like what I had in mind
Thanks a billion to you all.