The next time you need to drill a set screw, here's a hot tip I learned while reading up on Holley tuning over on YellowBullet:
Put the drill bit in a pin vise, put that in your bench vise, and put the
set screw in the drill. It's like magic, I tell ya. It went so well, I ended up doing a couple dozen different sizes of set screws for the various orifices on my carb. I now have a useful selection whilst tuning, rather than making (or, God forbid, buying) new ones every time I want to try something different.
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