Can you make a structural member from surface to surface?

So, I'm having trouble with making tubes along diagonal lines like in this: http://puu.sh/a1cuh/dd7a2e4613.png

Immediately, my first problem after selecting the line is that the tube is not aligned with the axis' so I have to manually adjust the angle to align. There are also just other sizing issues.

Would it be possible to just specify two squares on two planes and have a structural member built between them.

SolidworksWeldments