Hi,I`m a newby and an old grey beard at that ,but I do have some suggestions that may help you .Firstly do you have to use grub screws because they are very hard (they are used to fasten pullys etc to shafts and need to dig into the shaft) There are other screws available with socket heads (allen keyed) that are only high tensile and that is easily workable .Nextly if you really need to use the grub screw then you will have to soften it as much as possible .This is done by heating to a bright red and then placing in deep hot sand and allowing it to cool for as long as it takes (overnight) It will probably still retain some hardness due to to the actual carbon content . Before attempting to drill it, slowly file or grind a very small flat on the section of thread where you want the hole(with the edge of a file would be good) other wise when the drill bit engages the thread it will break nearly every time .Center punch and try.If it is still very hard you need to harden a tool steel drill bit (good quality) Do this by heating the drill bit to cherry red (carefully) and then quenching it in mercury .Drills treated thus can drill glass.Sorry this is so long .Hope it helps .
