An easy method to try if you're fairly sure you've gotten the penetrating oil to the threads (Kroil is the best I know of, with Liquid Wrench an old standby as well) is to clean it with acetone and then CA glue the allen wrench into the screw head. Obviously, that won't let you torque it out if it's still stuck, but it will help if you're just needing a little bit more grip that what you have.