Mystery solved. I had been ordering various sizes of metric screw (M2.5 & M5) and the thread pitch was always too fine as I said in my previous post. I found a data sheet that listed all the screw data for all types of screws and ordered some inperial sizes.
So the correct size is 4-40, these fit fine. The longest I could get was 1/4 of an inch, so that's a big improvement over the standard screws, although I still need a bit longer to really fix the intonation it seems.
