I think it's probably not too derogatory to call a Welshman a 'Taff' or 'Taffy'. Many people would do that without knowing the rhyme. The same as we might call anyone from the USA a 'Yank', without referring to the Yankee Doodle rhyme, or people might call me a 'Tyke' (Yorkshireman). In fact the N word was once a simple state of fact (or opinion?) in Spanish before it gathered all the nasty connotations. Would people of Irish nationality or extraction object to being called a 'Paddy'.

The words on their own are quite harmless, it's the way they're said or meant that makes all the difference.