If you have stripped the head of the screw (the hex) I usually just cut a slot in the head with a dremel cutting wheel and remove with a blade screwdriver. Then throw the screw in the bin. This has even worked on pinion grub screws.

If it is the thread you are talking about then you will have to be more specific, ie what is it threaded into and where its located and what kind of head does the screw have.