We always used a set screw so you could really wrench down on locking in the counter weight. However, it wasn't as easy for adjustability which led to eventually using the thumb screw. Regardless both approaches work and will lock in your counter weight to keep your tracking force accurate.
why do want to change the set screw for a thumb screw? Personally, i prefer the set screw
8/32" threads X 1/2" length thumbscrews found on Amazon and cheap. IIRC they were around $10 for a pack of 4. They are also available in different colors and lengths.