you can get quality set screws from a specialty place that sells nothing but nuts and bolts
or an aircraft supply store that carries them..i got some and they were even stainless steel
and much harder than regular steel types.

these places normally have much better quality hardware than regular stores

im almost sure there is such a store where you are!!

also possible you have some wear on you hex tool or its too soft china made??
don't forget use quality hex tools..buy the best money can buy cheap ones are not worth your time!!

or use TORX[Tm] head screws again get them at the better places.