JWG,
As rammed wrote, the tailstock ram anti-rotate key is made from a headless slotted set screw. But it comes up through the bottom of the ram bore, not the side. However, it is not something that you routinely adjust, as there is no real adjustment. The screw must be up just far enough before you slide the ram into the hole. After that, there is no adjustment as you cannot turn the screw with ram in place without damaging the slot in the ram. And if you pull the ram and advance the screw half a turn, it will most likely be too tall for the ram slot to run over.
I imagine that the key screws were probably at least in the old days made on a horizontal mill with three cutters in the arbor and a purpose made fixture that held several screws at a time. It wouldn't be as easy to do on a vertical mill and would take much more time to make the same quantity. Even an NC machine would take three times as long as it would have to make three passes and a rotate.
You could make a new one but if you simply cut the end of the screw flat and then cut two flats on the sides of the screw, and install and try to use it, it may or may not work. Plus if you hold the screw in a hole tapped in a block held by a vise on the milling table and rotate the screw 180 in the tapped hole to get at the other side, one flat will be longer than the other by half the thread pitch.
When the screw is run up through the bottom of the ram bore, when the flats are parallel with the bore axis the tip must be at the proper height. There is no adjustment. It's either at the right height or you can't get it at the right height without cutting the tip off a little and screwing it in another half turn.
Easiest thing to do is buy a new one from Clausing.
Robert D.