I could make the three screws that I need from scratch with the lathe, but the lathe isn't set up completely and I just don't have the time to do that right now.
I could also simply get a brass rod and die-cut the threads, if I can find the right die. Again, hunting for that piece of equipment will take just as much time as finding the proper screws, or screws with tips that I can easily modify to function as set screws.
All the small brass hardware I can find locally is SAE, with the smallest brass size 0-90. If nobody here has an idea where to find the correct kind of screw, then I'll probably just drill out the existing threads from the compass housing, and for 0-90 size bolts. I already have that tap anyway, along with 0-90 brass bolts. I can easily modify the tip to make set screws. What I have not yet figured out if going to larger set screw is doable. The larger diameter screw might interfere with the rotating mechanism of the bezel. The three set screw are what holds the bezel inside the compass housing, while allowing to rotate the bezel.