No way I'm aware.... When checking out with COD with 1 step checkout mode you have: order summary as normal, client, click on COD, one confirmation page -> click confirm and the customer is shown new page 'congratulations for your new order blah-blah'. So only 1 click more. He's not redirected outside your shop.
For me it's the best solution in your case, quick and easy setup, no future hassle...