As Daz said, a good engineering shop should have them.
In my experience, though, do not use 3mm for grub-screws - the remaining "wall" thickness around the hexagon is very weak and will almost certainly crack when you try to tighten it. Use at least 4mm grub-screws.
On the other hand, 3mm socket-head cap-screws are amazingly strong, and I use them almost exclusively for engines and things. Luckily, I bought a few hundred (in different lengths) before my local supplier shut-down due to him dying.
Geoff
