Brian:
As you become more proficient in your turning technique, you will undoubtedly find that it is faster and easier to rough to round from square than it is to rough to octagon on a bandsaw then rough to round from octagon. Using this method is fine if you're a bit leery of the spinning corners, however it is my opinion that it removes a learning tool.
The trick to turning square to round is to imagine that you're turning "air". Present the tool to the work as if the corners are at the extreme diameter of a cylinder, hold the tool steady, and make your cuts. With practice, you'll most likely be able to have a square blank roughed round in less than half the time it would take you to cut the corners off.
It is my personal opinion that this kind of practice in turning "air" is also useful when turning oddly-shaped blanks (such as winged platters, NE bowls/cups, etc). The visualization/thought process that goes into roughing a square blank round can be easily transferred for this purpose.
Good luck!
That's not a light at the end of the tunnel; It's a naked singularity.
Henry C. Gernhardt, III