I keep one on my lathe. There are a variety of socket head set screws in the lathe tooling, so this is an easy way to keep an assortment handy. The alternative would be a rack of T-handle Allen wrenches.
just bought this
regularly $99 on sale for $29
http://www.sears.com/42-piece-1-4-and-3-8-inch-drive-bit-and/p-00934845000P