Grade 8 fasteners are nuts and bolts mostly used for industrial purposes. They are id'ed as such by three radial marks on the top of the bolt head for instance. Grade eight fasteners are drillable with HSS bitts.
That being said, most socket head set screws are a lot harder than grade eight fasteners and are NOT drillable with HSS bits. Attempting such a thing will leave you in a bad mess.
If the hex socket is at all useable, heat the piece, stopping before you affect the heat treat of the piece, maybe 500 deg. F. Then a liberal application of Break Free penetrating oil and let it soak in overnight. Break Free is the best brand for this situation.
If the socket strips out the next day, you're back to welding a nut on it. Good luck!
