Here is one good way to go about your search:
Go to
www.mcmaster.com.
Go to "Fastening and Joining."
Go to "Screws and Bolts."
Go to "Set Screws."
Narrow down the search by thread size to "5-40."
At this point, the list of matches becomes small enough to easily look over. Or, you can continue to narrow down the search by choosing the length you want. For instance, I clicked 3/4," and got two hits: 1) 18-8 stainless steel cup point for $7.80 (pack of 50), or 2) alloy steel cup point for $8.75 (pack of 50).
Then take what you need, and sell the rest to forum members in sets of six for $5.

Hey, it's better than the $10 DiMarzio charges, and Duncan won't even sell 'em to ya!