center punch for the hole that will be tapped for the set screw. #36 drill bit and a 6-32 tap for threads. Get it as close to center as you can. This is where a lathe makes it a cake walk but you can do it with out one.
the allen head set screw, a thread pitch guage to find out what threads I have and a #36 drill
I'm showing about how far I drilled into the bolt go easy on this as well. Just as you beak through the other hole is when the bit will try to bind and break go slow and easy clean the chips often and use oil to lube the drill bit. Fun!