I throw in another option, because set screws tend to damage the finish of the axle. I try to use axles with shoulders and a key. Then a screw and a ring to tighten the whatever against the shoulder. Normally torque transfer is then by friction, the key does the overload, and with normal tolerances there is no movement. Another option are tapered (keyless & setscrewless) hubs like these:
edit: learned to edit, link added.