First, Allen head socket instead of a key.  The bending of a key weakens the snap needed to free it.  Torque until you're just about sure it's going to strip the center out, and then have someone tap beside it with a pin punch and hammer.  Heat might work, depending on location.  Is it at the end of a hydraulic cylinder for greasing the pin? Might want to punch out the pin and screw it IN and through the hole if the problem might be that the back end of the set screw is buggered up.  If those don't work then I'd go with a drill bit. Might want to pick one that'll allow you to tap it with a 5/16" or 1/8 pipe grease zerk thread after you've drilled it out.