I just released a video on an improved jig to drill holes through shafts. You can use such holes in combination with screws to secure wheels, pulleys or gears to shafts very securely. This is especially helpful because setscrews tend to come undone after some time due to creep. For steel gears and moderate torque using setscrews is much more convenient I would say.
You can find the files for printing this jig here