Someone answered this in the old forum.  I'll see if I can find the thread for you.  Line 6 should be able to sell you some of these anyway if you contact them

I found this on Page 26 of the old Variax Forum as suggested by Crusty Old Rocker:

"The grub screws that are used for the saddle height adjustment are the same size as the trem arm grub screw. So, take one of those to your friendly nut and bolt supplier and ask for one like it."

It doesn't give you the size though, sorry.

Found a few pages on that the grub screw might be an m3 thread size from d8veh - still looking though...

Hello,

  You can contact LR Baggs to see if they have these parts for direct sales (Line 6 does not).  The hex screw size is 1.5 mm:

Variax Electric Guitar Specifications

http://line6.com/community/docs/DOC-3733

Regards,

Line6Andy