I just bent this wire with my Great Planes Z-Bend pliers... it's 0.11 in diameter... should do 4-40 just fine, since it's only .095, that's a piece of 2-56 on top in the first picture for scale...

Those pliers are made of pretty hard tool steel, so the wire isn't going to do anything to them, and the handles are quite long, so you've go lot's of leverage for the thick stuff...