Im not a big fan of the SK, your right. The larger sizes use a set screw, so they arnt bad, and the steel is extremly durable, but I still wouldnt recomend them.
I have a set of Kobalt metric and SAE that I use at the track... The 6mm is the most commonly used and shows a little bit of wear, but only the finish, The steel hasnt worn or anything. For the $ you cant beat these things, and the bits are pressed in. Im 99% sure they are the same as craftsman, and youc an get the craftsmans on sale for a great deal. Protos im sure will be nice as well, and they use setscrews. Snap ons are super nice, and they use setscrews too, but you pay big$ for them. The only thing about set screws is you need to check every once in a while to make sure they arnt backing out so you dont loose your bit lol.
Jim