I found a nice assortment of tiny brass fasteners at http://www.microfasteners.com
, moderately priced too. I see they have hex head brass machine screws in sizes 0-80 through 3-48. As an example, the 2-56 x 1/8" screws are $5.50 for a hundred.
The round head screws are even cheaper and they carry up to 4-40 x 3/4". I tend to buy an assortment of sizes in the longest available, then cut them to size with a Dremel cut-off disk as the application requires.