I did this repair a few years ago.
A gib screw was broken in the slide casting.
I did not want to mess up such a good old machine, so I took my time and went over the top in order to drill out the broken screw.
Doing this freehand with an electric drill is too risky.
I'm glad I took the trouble because I removed the broken screw without damaging anything.
Update May 2010 - Another socket set screw (grub screw) has broken. A screw fell in half as I was loosening the lock nut.
It looks like these screws were made from poor quality metal. Old age (44 years) is taking its' toll. Time to start searching for replacements.
↓ Update January 2011 - I finally purchased some replacement socket set screws (grub screws) from EMKAY SCREW SUPPLIES
I decided to replace all the old socket set screws so I bought 12 off 1/4" BSW x 3/4", and had some for spares. The screws they sent were a mixture of plain cup and knurled cup (I forgot to specify the type when I ordered). I needed plain cup so they were perfect.
I ordered the screws online, paid by PayPal, and received the screws a day or so later. The screws were superbly packed and the Emkay Screw Supplies' service was excellent. There is no minimum order. I'll definitely use them again.
↓ I spent the best part of an hour setting the grinder casting up on the lathe cross slide.
I had to mount a drill chuck in the lathe chuck, because the lathe chuck fouled the casting.
↓ Once the drill bit 'bit' into the screw, the screw unscrewed. I got lucky this time.
If that had not happened I would have continued and disintegrated the screw by drilling it.
↓ Note the drilled hole in the 1/4 Whitworth grub screw, on the left. The head of that screw is on the right there.
The casting thread is undamaged.