Yes I just plunge in with the slitting saw, but given the diameter of the saw blade it is minimal. The thing with the drill chuck to hold the screws is that takes just a second to pop another screw blank into place as well.....you could actually do the same with your set up on the mill as well.
Tricky with the very short ones, I would be tempted to loktite them into something bigger just to give something to hold on to, then a bit of heat to remove and a clean up.
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