As stated above, do NOT weld that shaft. If you insist on using the horrible, terrible, awful, unsafe, and unreliable Borgeson / Flaming River joint, then do not use the set screw.
At a minimum, replace the socket head set screw and pal nut with a grade 5 hex head cap screw and grade 8 jam nut. (I recommend grade 5 in case you have to drill it out someday.)
Cross Drill the head of the cap screw, tighten the jam nut, and safety wire it in place.
I had one fall out, and the intermediate shaft fell off at about 45 MPH. Steering wheel just spun around and around. Never again for me. So I run the big factory spicer joint with the pinch bolt clamp. Let’s you know when it’s loose, and never falls off.