Can't you just drill, pin and loctite? or is this a use that requires
the removal of the shaft?
not sure what you want to do but just setscrewing that onto the shaft
sounds like a fairly bad idea... (using the setscrew to transfer
torque, that is.). In our application in robotics, it tends to dig a
groove in the powered shaft until it is no longer transmitting torque,
or snaps off..

Also, do you mean "strip the screw" as in the threads outside or the
screw head or the screw threads? because I suspect its the outside
threads that are stripping.. the stuff outside looks like soft plastic
(which will strip..) and the inside metal could be overdrilled.. not
sure what you're doing but standard zinc ones should hold (at least
just by hand-tighetening)

Tatsu