Dental burrs (the bits the dentist uses to grind out cavities for fillings) and a Dremel tool are one option. I've used them for cutting out broken small and tiny taps. The set screw should cut really easy by comparison.
You can grind a drill bit so that it will cut in a reversed direction.
Set the slide up in a vise on a drill press table, use the butchered drill bit in the chuck. Use the drill press to control the pressure on the screw and turn the chuck by hand. If you ground the tip correctly, and used a drill about the same diameter as the set screw, it should grab on to the setscrew (best case) or start shaving away the screw (worst case, and time to switch to a drill bit that will fit inside the thread size of the screw so that the threads on the sight itself are not munged.
If the wrong Loctite was used, or nailpolish or super glue, or any other type of makeshift screw retaining compound was used on the screw, drilling it out may be the only real decent bet.
Good luck!
Cheers
Trev