use a set screw on the stepper sprocket

There are plenty of 4-40 set screws available, like
http://www.mcmaster.com/#93445a170/=tdk0uz, which specifies a hex key size of
0.05" (driver: http://www.mcmaster.com/#7400a11/=tdk1pc). Or you can pick up a
4-40 machine screw at Home Depot or Loews or Radio Shack, and skip the hex key.
The hole into which it fits has a 3/32" diameter.