How short is it?
The W1 connecting rods are a laminated pair so you could cut them and extend them, but cut them in different places so the joint is staggered, the rear can be filed with some carrier etch, the front I'd do as you suggest, as close to the cross head bearing as possible. There's only a couple of mm from where the fluting ends and the bearing hole is, so it'll be nip and tuck.
The expansion link screw works and once the slot is filled, will look fine. Real engines have a cover plate on here so that'd hide it as well, sadly that cover plate is on the main chassis etch, it's on there due to the thinness of that sheet and not on the 0.7 mm valve gear sheet.
The lubricator linkage is fiddly, but definitely worth the effort.
Grab a copy of the W1 instructions off the Finney7 site, page 11 details the construction.
http://finney7.co.uk/Downloads/LNER_W1_A3_Pages.pdf