McMaster-Carr (
www.mcmaster.com) has 2MM Socket cap screws in 3MM or 4MM lengths (not 3.5MM).
You could also try Fastener Express for smaller quantities but you will probably end up paying the same (or more) in total because Fastener Express has a fixed minimum shipping charge and McMaster only charges what it costs to ship.
I have some from McMaster that I use on my Mini-Ts instead of the phillips drive screws but nothing that short.