On my front sight I drilled and tapped a hole in the underside of the barrel because the front sight base band material is too thin.  There's a match-drilled hole in the band that is a close fit on the set screw.  So, basically, the set screw is a post attached to the barrel that the band is impaled on.
I was very careful to not drill too deep into the barrel.  Didn't want a "ported" Krag. ;)

Battis, it occured to me that you could drill down through the top of your front sight base, right in the middle of the dove-tail.  Thread that hole for a set screw.  Plenty of depth for threads there.  Then match-drill a shallow hole in the top of the barrel that the set screw can engage when it's tightened.  After the base is in place, then install the rest of the front sight into the base.  That's what I tried to do first with my 1903A3 front sight but ended up breaking my tap due to being overly eager.