For what make and model gun are you looking to get replacement screws?
Gun Parts Corp. is always a good place to look, and if they don't have them, it's probably just a matter of time until they do. You can also try E-bay, Gunbroker, and Google used gun parts for a number of other sellers. There are usually some guys selling miscellaneous gun parts and screws at most gun shows too, but that can involve some serious looking, and good luck too, when their stock is a mess of loose unmarked parts in boxes. Of course, used screws may not be properly timed when installed in another gun, and if you are particular about that, it may be necessary to have them made by a gunsmith.