" can I drill a grub screw? "
You serpantly can, just use a SHARP drill, you DON't need carbides.
A few years ago, a machine used for cutting mitres with a double headed saw on UPVC frames had to be adjusted for length settings constantly. One head was fixed, other was slid and nipped up on a round slide. Problem being, as expected, burrs thrown up on shaft. Had no idea about the existence of brass "buttoned" screws but about half an hour (At home) had half a dozen (6) Allen cap screws converted. Saw the commercial ones about twelve months after I left.
Regards Ian.