@N9JIG once you find the screw size you need, you can avoid the limited selection at your hardware store and visit McMaster-Carr online. They will have the exact thread, length, and head type that you want. Granted, you may have to buy a box of 100, but it will satisfy your OCD.
Amazon absorbed a niftly little MRO I used extensively in maintenance called Small Parts, Inc - and that's exactly what they did. I think you can get screws down to M1.6 or #000 on Amazon without any trouble, and within a couple days' delivery timeframe. They also did odd materials - I could get screws from them in Nylon (not very odd) or glass (for chemical resistance.) I don't know if Amazon does their whole line - some of the stuff they stocked before was pretty niche market.
McMaster can get you nearly anything (and it doesn't hurt to ask for a catalogue when ordering - worst that can happen is they say No. This is the time of year to do it!) but they're proud of their stuff, and it's hit-or-miss on rapid delivery (they don't ship like Amazon does, and you don't know where in the country it's coming from. I could order here near San Francisco, and have it come from LA, Reno, Seattle, or Pennsylvania. . . Or all four.) The minimum quantity/minimum order value factor also applies. You can get nearly anything from them, but I consider them as "weapon of last resort."
Another useful little source for small fasteners is a modelmaker's house called Micro-Mark - they cater to submini (I had to order #2 screws to fix a minitature brass sextant for my mom, and #2 screws were on the
large end of their charts!) markets, but they also have miniature machine tools (which I might have gotten if I didn't already have a set from Sherline. However, the Sherlines I did get are a bit more capable, at 7x17 for the lathe and an 8-axis mill, both of which can be later converted to CNC, once I get my head around it a little better. I learned to make chips the old-fashioned way. . .) Micro-Mark has smaller order minima. (When I ordered those #2 screws, they were all I had to order - I just had to get 20 of them to a packet. So, I've got more for later. I work on small stuff all the time, so they fit right into my spares kits. . .)
MSC Direct is another MRO house, good for parts, a bit better in the ordering and shipping than McMaster (but light on the "exotic/oddball" stuff. If MSC doesn't have it, go to McMaster. If McMaster doesn't have it, make it yourself or redesign it to use a standard part.)
www.micromark.com
www.sherline.com
www.mcmaster.com
www.mscdirect.com