Single set screws won't work. Unless you have two at right angles it will waddle off.
Drilling a hole through the shaft and bolting will not be much better and will weaken the shaft.
Try to get a second hole drilled and tapped into your flanges.
Here we have things called "taper locks" that make an excellent fixture to the shaft, but the price of taper lock flanges may frighten you.
Unless you can do some machining you may be better off paying someone to do what you want rather than relying on what you can find. If you can get a second screw in your flanges that may be as simple as it comes. Failing that, use one screw and Loctite.
Flux