This will be our second year running with the plain bore bevel gears.
We just use 1/8" roll pins to attach the bevel to an axle.
Roll pins can be found here
http://www.mcmaster.com/#roll-pins/=5gr639
If you really want to use a set screw, you can purchase those from McMaster as well. On the page with bevel gears. Part number 6843K11 or 7655K1 for a 3/8" axle.