That's strange....Every music store in Columbia SC keeps those in stock. I had that problem too. What I found was to get a better quality allen (hex) wrench that won't smooth out along the edges, which in turn rounds out the allen screw.

I think I paid like $3 a piece for the screws here.....

I know you said you don't won't to order online, but they are $2 for a 3 piece set at Samash....
http://www.samash.com/catalog/showitem.asp?ItemPos=2&TempID=3&DepartmentID=1&STRID=16845&CategorySubID=215&CategoryID=215&BrandID=0&CategorySubPriceRangeID=0&pagesize=10&Method=3&PriceRangeID=0&SortMethod=&SearchPhrase=&Contains=&Search_Type=Department&GroupCode=&categorysubsearch=true