We are using Hex-hole sleeves, purchased from
SDP/SI; just search for part number "A 7C20-08".
The shafts we are joining are captive, and the sleeve is constrained between hubs, so we aren't bothering with set-screws, though it would be pretty easy to drill and tap for set screws if desired.
They are very solid and are a slip-fit on the VEXpro hex axles. They are not particularly cheap or light though. If you need them to be light, and you don't mind spending for a
hex broach, you may be better off broaching round shaft couplers as thefro526 describes.
Cheers,
- Dean