CJM413: For the brass tubing style the set screw works fine, and would be easier to remove if the coupler ever broke. The main reasons I didn't go that route are that I'm too cheap to buy the tap and set screws, and I hadn't seen his post before!
For the plastic style I doubt that the setscrew would be helpful, because if anything breaks, it will probably be the pocket itself. Since I use the plastic ones almost exclusively, I make the pockets as a styrene channel, 3/16x0.015 on the bottom, with two 0.015x0.060 sides, let dry, and then drill the holes all at once. The top is also 3/16x0.015, with the hole, and a piece of 0.060 rod goes all the way through. Put the coupler on the post, put the lid on, glue, and it's done.