So then use blue loctite. The suggestions given on here are correct. If you insist on trying to do what you're asking about, you first MUST make sure you are absolutely centered on the pinion, with it sitting perfectly level. Make a small flat spot with a small milling bit, then drill the flat spot. Start your threads on the slowest speed on your mill, then finish by hand. Normal drilling/tapping rules apply- use lubricant and be patient.

Or, skip all the hassle, clean your threads and use a dab of loctite on the setscrew. Thousands of racers do this without issue, you should be able to do the same.