I think those are the same as some I tried, they were sloppy but I got them tight without stripping out the hole. Brownells' also sell unthreaded screw blank if you want to try and make your own - if you bought a split adjustable die you could get them a little over size, I don't think it would take much.
drillsandcutters.com/8-40
brownells.com/blank-screw-kit

You will have to chuck them in a drill or lathe and file an angle on the bottom of the heads. To keep from damaging the head when threading, hold them only by the shaft, once the die is started clamp on the threaded end. They're long enough you can thin them a ways to help the die start only leaving a short amount to have full threads. This will not give you deeper engagement but will make the thread thicker and stronger where they do contact.

Gene