Set screw diameter is measured on the outside of the threads.
10-32 is a fine thread, but it is listed under coarse thread because it is very common.
Thread locker prevents fasteners from loosening after installation. Anti-seize helps prevent seizing (galling) during installation.
Bits for Allen drive screws (a.k.a. socket products).
Screws with no head and machine threads for use in a tapped hole.