If I were going to try to remove the set screws, before drilling them out, I would first drill them for the appropriate sized easy out and then I would take my torch and heat up the handwheel around the screw holes before I tried to turn the easy out. If that didn't do it I would heat the handwheel red hot around the screw holes and then after it cooled use some sort of anti-seize penetrant and try it again. Drilling them out might be my last resort.