I don't have a lathe so drilling rod is not a possibility. I did find a place that sold 'hollow' set screws but that would involve cutting threads etc.
I have bought some 4mm OD tubing with 0.5 mm wall thickness, and some 3mm OD with 0.5 mm wall off the site. I will try Loctiting one inside the other and then running a file or drill up the middle. It's £4 or so, worth a try anyway....