Leo, there's not enough room for setscrews in the lube holes, they are step-drilled and fairly shallow. Drilling the die all the way through and tapping the hole might work, but you'd have to make the hole quite a bit larger to do this, and would probably lose some lube flow control with the end result being getting lube where you don't want it. A tapped hole might also leave a more ragged edge inside the die, which could mar the slug as it passes through the bore of the die.
It's simplest, and probably more cost-effective, to get dies that are drilled with just enough rows of lube holes to accommodate whatever slug you happen to be sizing at the moment.
Good shooting,
Chris