The engine I'm building requires some short 7BA grub screws only around 6 or7 threads. All I could find from the usual suppliers were 1/4 inch which are far too long. I've managed to cut them down reliably by using a single nut as a clamp - you run the grub screw into the nut to the right length then put the nut in a vice until it clamps the screw tight (using lock nuts consume too much length). Then the excess can be sawn off and filed to shape. QED! If you over tighten the vice it becomes very difficult to retrieve the screw from the nut afterwards though.
However, I'd much rather buy them ready made!