Many good methods already listed but you can also try using a small pin punch to peen the end of the grub screw back other around the hex, this has worked for me quite a few times.
If all else fails I'm afraid you will have to drill it out, just remember you don't have to go very fast for a good drill bit to work, even 100rpm is enough. You can cut most things with a HSS drill bit just use some lubricant like oil or even WD40. If HSS drill bits are too soft you can re-sharpen a masonry bit to be like a normal drill bit and it should work.
|