Failure in two-level has_one...:through chain

dem_bones.rb

# This is in a Rails 3.0 app
# Class names changed to protect the innocent

class NeckBone
  has_one :back_bone
  has_one :thigh_bone, :through => :back_bone
  has_one :knee_bone, :through => :thigh_bone

  delegate :walk_around, :to => :knee_bone
end

# assume back_bone exists and has a thigh_bone etc.
neck_bone = NeckBone.new(:back_bone => back_bone)

neck_bone.walk_around
# => NeckBone#walk_around delegated to knee_bone.walk_around,
#    but knee_bone is nil: #<NeckBone id: nil, back_bone_id: 3,
#    created_at: nil, updated_at: nil>

neck_bone.back_bone.thigh_bone.knee_bone.walk_around # => Works!

Lately I've been avoiding

has_one :thing, :through => :other_thing

in favor of

delegate :thing, :to => :other_thing, :allow_nil => true