CRs:
I use Boeshield chain lube on the dropout setscrews. The Boeshield lube was originally develop to protect bare metal against rusting, so it keeps the screws rust free without attracting dirt.
I install the screws and then trim the excess off to prevent the screw from getting bent by accident. There's not a big risk, but I've seen quite a few bent DO setscrews over the years.
For cutting, I use a dremel tool with a fine-grade cutting disk, and I slice the excess length off the back after the screw is installed. Just cover the back end of the bike with a bunch of rags, and slice away. Leave enough length (about 4 or 5 mm) to install the knob when you're done.
Andrew Gillis
Long Beach, CA USA