I have mostly RCBS with a few Lyman & Hornady. The set screw arrangement on all is "ok". I need to try the trick with the lead shot under the set screw. I'm sure that would help.
In the last year or so I have picked up a couple of sets of the Lee dies & I have to say that the o-ring system is growing on me. I load on a RCBS Rockchucker so volume production is not happening. Given the 100 or so rounds that I will load at a setting, the Lee dies stay in place about as well as the others. Also, if you are constantly screwing around with different bullets, seating depths etc., the Lee dies are pretty quick to change settings on.