How to connect motor with these pieces?

[DonRotolo]

5. Or file a flat spot on the shaft for the setscrew.

[jason701802]

Be careful with those Gates sprockets, most are not solid and you will destroy them if you drill too large a hole in them. You can look up the model number and the spec sheet should say what the maximum bore diameter is. If you can, chuck the sprockets in a lathe and the drill bit in the tail-stock to make sure that the hole stays centered.