Understanding that this is not really an answer to your question, I'm going to be encrypting the messages directly with RSA, before sending them with 0mq.
In the absence of a more integrated encryption method that is fully tested and implemented in my platform of choice, that's what I'm going with. 0mq just recently released version 4, which has encryption baked in, but it's still considered experimental and isn't fully supported by the language bindings.
Encrypting the message, rather than the connection, seems to provide the simplest upgrade path, and the difference for our purposes are pretty much just semantics given how we'd have to implement encryption currently, today.
Edit: I know more about encryption now than I did when I wrote this, RSA is not an appropriate choice for encrypting message data. Use AES, either with manually sharing keys (this is our approach for the short term) or implementing a key sharing scheme as in Jim Miller's answer... but beware if you take the latter approach, designing and implementing a key-sharing scheme securely is hard. Way harder than you'd think. You can implement SSL/TLS directly (using message BIOs), and others have done so, it's also not simple but at least know that the SSL scheme is industry standard and therefore meets a minimum security requirement.
In short, before the Elliptic Curve crypto baked into ZMQ 4 is considered reliable and becomes standard, the "accepted solution" would be to implement SSL/TLS over the connection manually, and failing that, use AES 128 or 256 with a secure key sharing mechanism (key sharing is where RSA would appropriately be used).
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