Set screws suck is a bit of a universal. However you can make them suck less. Flats on the shaft and large grubscrews relative to shaft size will help them be adequate.Its sub optimal but it does work. Look at keyways. Much better. Then just use grubscrews to retain. You can even weld if thats on the table.

Im not sure what you are on about trying to CNC a shaft. You're not trying to do anything you cant do by hand from what I can make out?