As mentioned, tool steel "bits" are not shaped for use. You have to grind them to shape them. If you don't, you'll end up with a lousy finish and make a lot of noise trying to fix things. The set screws are very soft steel - so soft that they can be easily bent - if they do not loosen, do not use too much force; simply "pop open" the allen wrench and tap the back of the wrench on your elbow with a light mallet.
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