I had to replace the handwheel on the tailstock of my lathe recently--the head of set screw that holds the wheel to the shaft was no longer hexagonal, and I could not lock it down. I ordered up a replacement handwheel from Sherline, and scavenged an equivalent set screw from the handwheel from Z-axis of the old vertical mill assembly.
I hate to throw anything away, so I decided that I was going to remove the set screw from the old handwheel and replace it. So I tried to use a screw extractor--but I could not drill a hole into the set screw. I tried a .125" drill bill--no luck. Sometimes it helps to use a small drill bit to get at least a small hole, then then larger drill bit can get some purchase. No luck--and the 5/64" drill bit broke. Then the .125" drill bit broke, even though I was flooding the area with oil to make sure that I was not overheating it.
What in the heck is this set screw made of? Anyway, I gave up. It was $18 to replace it, and there comes a point where you can't let the desire to save $18 waste hours of time. It makes more sense to be writing articles.