This simple cylinder connects two NEMA 17 stepper motors together:

It’s quick-and-dirty:
- Cut 2+ inches of 0.375 drill rod, face both ends
- Drill #8 = 0.199 inch = 5.06 mm (because #9 = 0.196 inch = 4.98 mm is a bit too snug)
- Cross-drill #41 in the Sherline (because #43 makes for stiff tapping)
- Tap 4-40 for the setscrews
- File off rough edges, run #8 drill through the bore to clean out tapping chips &c
Now, you probably don’t want to do this in real life, because you want a coupler with a bit of compliance to soak up the inevitable misalignment and dampen the mechanical resonances.