Indeed, if the cross section of the bulb is round, then the most effective way to make a bulb is probably with a cnc-lathe. Brass is maybe a bit heavier than steel, but more expensive.

Milling allows more shapes, like an elliptic cross section through-out, or a round shape at the front tapering to a flatter one at the back.

I don’t have access to a cnc-lathe, but making a bulb with one could be an interesting experiment. Buying a lathe and installing a cnc-control on it is not out of the question within the next few years.