So I'm assuming that is a 1/2" inch steel rod? The belts that came in KOP I believe are 5mm pitch HTD from Gates, so you can order Sprockets/belts from here:
http://www.sdp-si.com/eStore/CoverPg...Components.htm
Be sure to try to get the ones with a flange as bhumudar mentioned, so the belt stays on better. Keyway broaches for the sprocket you can get from McMaster, and you could either get a key cutter, or just use the right sized endmill to make a slot in the shaft.
Speaking from experience, if those belts are going to have significant load on them, I would avoid relying on merely a set screw. You could try milling a flat onto your shaft, but the set screw will probably slip without it.