[nathannfm]

If I understand you correctly you would be putting the set screw in shear as some of it would be threaded into the shaft and some of it would be threaded into the component. I would say this is probably not best practice but depending on the application it could work. If possible I would drill the hole all the way through the shaft and out the other side of the component and use the entire length, this will at least give you 2 shear points instead of 1. It would also help you tap the hole as it can be difficult to properly tap a very shallow blind hole. Also, if possible I would also recommend using a pin in said through hole instead of a set screw as the threads on screws act as stress risers when put in shear like this.