Jim, I'm not entirely familiar with grain mills, but unless they spin at ridiculous speeds, filling it with concrete would not really be a problem. The only thing (other than total weight) that concrete filled rollers would have much of an affect on assuming that your using some sort of capable bearing, would be spin up/down time. If you did want to do something like that and keep it lighter, you might be able to use something like Styrofoam packing peanuts as aggregate instead of gravel in your concrete.
If you have access to woodworking materials, you could easill cut some plywood ends or something with holes punched in the middle to keep it centered, or, you could fix the plywood disks to the cylinder and your rod and just use that as support, but that may be difficult depending on the materials you are using.
Good luck!