A more drastic solution could include drilling out the old set screw. If you are lucky enough to have access to left handed drill bits they would try to unscrew it as they drill it. if not, you risk messing up the threads in the knurled knob. They can be re threaded, but perhaps it may need a bigger set screw. Other options exist, but they aren't fun either. Patience is a virtue. Thankfully you are working on a common knob so parts do exist.