Had a friend who used to race sprint cars he would put a nut over the broken screw and weld it, then use a wrench on the nut. since we are talking 6-32 or smaller that probably won't work, how about buying a left hand drill bit and drilling about half the way through, then press real hand to get the drill to bite hard and it just might come out. If you drill most of the way through, you could staybrite solder a wire into the drilled screw and try to twist it out. Best I can come up with, hope it helps or maybe gives you an idea that does work.