Having recently come across this very problem on the carrier screw for an 1899 Marlin 1895, I chose the heat method. Making another screw was not an option and bent two Brownell's bits in the chuck trying. Penetrating oil, heat and a shot more oil plus some good coaching from a friend, and I got the screw out in one piece, and still quite usable. I have no illusions about my abilities to drill out a screw w/o mucking up the hole (and a long one at that).

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BrentD, (Professor - just for Stan)
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