This is how class "A" machinists become class "A" machinists; by listening to others explain their setups and their particular advantages & disadvantages.
I like all of the methods described. Goodsteel, necessity is the mother of invention. MtGun44 is right. You are very lucky to have a hardinge. Is it the old tool room without variable speed or the HLV?
I had an old Hardinge Cataract tool room lathe in the MGM Machine Shop, that was dated by Hardinge to have been manufactured about 1898 (before they moved to Elmira, NY). I think I was the last guy to run it before it was pulled off the floor and placed in storage. I single pointed some titanium rods on it utilizing it's original follow rest.
There is one lathe that I know of that is at least as good as the Hardinge HLV. It's call a Monarch. For their swing, and length between centers, they are quite massive. High precision and great rigidity.
Because your cross-section is so thin, I would have parted off the shims just as goodsteel said, at high speed and slow feed with a carbide ThinBit grooving tool.
MtGun44,
I really enjoyed your write-up and the pics of your fixturing and the Colt. Granted, it may not have been the quickest way to produce your shims. But what you learned you will apply on future jobs and likely get that time back. You already got some of it back when you fabricated that second shim.
smokeywolf