Trying to "build a better mouse trap" for that clumsy and often lost set screw and spacer, I thought I'd share some findings.
The screw is a stainless steel M4 Set Screw (also called a Grub Screw, depending on your locale) with the addition of a loose nylon spacer to prevent marring the G saddle once set. The Set Screw is basically the same as the newer (post '08?) metric Saddle Height Adjustment Screw, so in a pinch you could use one of them (if you had extra

My used USA model didn't come with one so in my quest to replace it I found a better solution:
Instead of a Set Screw and spacer, I used a M4x10mm Nylon Tipped Dog Point (aka Extended point, Pilot point) Set Screw. This eliminates the hassle of loosing/setting that spacer, and the longer 10mm length easier to handle.
Side note, I found it "Inconseeev-able", almost impossible to get these screws (even in a small quantity) here in NYC. Oddly though, I could find SAE nylon dog points from US suppliers, the only way for me to get a small quantity of Metric was an order from Europe or China. I bet those in "metric countries" will have better luck sourcing locally.
Hope it helps, Play on!