To be blunt, are useless. My team has used many different allen keys, and the grub screws always round, causing the grub screws to be stuck on the shaft forever unless unreasonable force is used to remove them: http://www.functionalhandstrength.com/images6/sledge_hammer.gif
I haven’t been able to find just a pack of the set screws in the VEX store. Does VEX sell these? Or are they available through an alternate source? I’d love to have a hundred pack of just the set screws, we have enough shaft collars to last a lifetime.
For the teams I mentor, we buy about 500 new set screws a year from McMaster-Carr. If one shows any signs of wear we just throw it out and install a new one. They cost 5 cents apiece (in the US). I know it might not be practical for a Kiwi team to order from the states, but here is their Webpage for what we buy: McMaster-Carr
EDITED TO ADD: For Ryan, though, this should be just right!
#1 blame the victim: If your team has more trouble with this part than other teams, perhaps you are “doing it wrong”. Rather than using many different hex keys, try using only good ones? “Hex plus” type seems to grip really firmly. non-ball tips are better for avoiding round out. Don’t use power tools. Using loctite keeps the set-screw from coming loose, but your description says that you can’t get them off. Inspect them carefully before tightening them, so you dont install ones that are already rounded out.
#2 replace the parts: You couuld try various replacement set-screws from places like McMaster to see if you have any better luck.
#3 Work around the problem: You can always consider it as a design constraint to not use shaft collars. When over-used, or poorly used, they are are often a source of unreliability.