If you are looking for cheap 4 to 40 set screws (of this length), just buy them. When you consider how cheap they are, it makes sense. Of course, I really only needed 10 or so, but getting a bag of 100 (with Prime shipping) was a lot cheaper than trying to find them locally.
191Pcs Nickel Plated Metal Eye Shape Screws - 9 Sizes, Self Tapping, Silver Color | ECKJ
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