Steve,
The info was passed on to me by a person who follows my exJW facebook page. Upon investigation, it seems like this person got that info from here:
http://www.topix.com/forum/religion/jehovahs-witness/TMKD6NCLPTF6KEHE7/p2
"Hi SOSSOS. Regarding Rutherford's membership in the Knights of Pythias, see the January 20, 1899 Boonville (Missouri) Weekly Advertiser (Volume 53, Number 20) page 1, lists the local membership which includes Joseph F. Rutherford. See also the January 13, 1898 Boonville Weekly Advertiser, page 1, where J. F. Rutherford was elected toastmaster for the Knights. The notice said that he was a good one.
Rutherford's membership in the Woodmen of the World is mentioned in the February 17. 1899 Boonville Advertiser, page 1.
This information in on microfilm and is available for researchers at the Missouri State Historical Society."
When you actually look at the newspaper, however, it is only the initials, J.F. that are used, not "Joseph".
Again, I have no idea how to actually prove that this JF Rutherford was actually Joseph Franklin Rutherford.
Any ideas?