Soldering a tang and adding wood sleeves is a good method. An alternative, if the diameter of the rudder shaft allows it, is to make the shaft out of brass tube and drill horizontal holes through it to allow thin brass rods to be soldered in to act as tangs. Use brass sheet for the rudder blade and cut thin slots part way across to accept the rods, then solder the blade to the tube (and rods) as described by David. This is a 'belt and braces' method which provides extra mechanical strength. You can also feed and glue brass rod into the lower and upper ends of the rudder shaft to strengthen it further.
Maybe a bit of overkill there but it is very easy to do.
Colin