I often have to make modifications to the ends of tiny screws.  Often
enough that it behooved me to make a jig.

A brass 'collet' is made for each size of screw by tapping a short slug
of brass with the required thread and then milling a small flat on the
slug.  The screw is then threaded through the collet and secured in
place with a lock nut.  The collet is then inserted into a steel tube
and locked in place with a set screw.

The whole assembly is then stuck in a collet and the required work
performed.  (The picture shows a dog point put onto a 2-56 screw.)