Two ounces of the rye for the set-up is fine, yes, that is what I would use. I don't think a dash of Cointreau would hurt if combined with Angostura or Peycheaud's bitters, in fact that combo would resemble (close enough) orange bitters - but not too much Cointreau, just enough to impart a light sweetness. I've seen recipes which use either form of bitters by the way.

Gary