I had the same prob w my 9XL, and my pinion setscrew is out at the end of the shaft, so I knew even a flat would not help keep it on (and may have made things worse).
I have seen ppl many times mention doing a divit, but the problem with that is your stone will almost always wear out into the wrong profile before you can get enough material removed. I found out my buddy had some diamond ball burrs and decided to give it a go. WELL let me say I wish had done it a long time ago. These things are normally used to engrave glass, so I thought they would hold up long enough to get a big enough divit for the end of the setscrew to fall into, and they did with no sweat.
You will need a Dremel if you don't already have one, and you WILL still need to Loctite the setscrew, but this method works flawlessly and the diamond bits are very aggressive on the hardened steel, but are still easy to control. The only thing you need to do is find a way to lock the shaft and cover any air or screw holes, and just nibble away slowly, checking the divit size with the setscrew until you're satisfied...... and here is what I am referring to:
http://www.widgetsupply.com/page/WS/...und/XSW4-312DD
Each one will be good for several uses, and they're cheap!