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.)