When you order the gear it comes with the set screw. But beware ! It's the hex wrench you'll need to tighten it up that'shard to find. I needed a 0.9mm hex wrench and it needed to be exact. Got it from McMaster/Carr where I have an account already. With the small size of the hex wrench you'll need you'd be well advised to make certain you get one that isn't just close but rather spot on...
Not sure what size you'll need for the 1.5mm diameter bore gear you need but it may be the same...