Thanks guys, got it done. Some interesting points, getting the old screw out turned out to be the easy part. I bought a set of screw extractors on Amazon, the smallest of which goes to .051 inch. It inserted easily and removed the screw easily also. I'll try to include a pic here, the set was a very good investment IMO.
Onto the installation of the new sight, a few observations. The screws I had (the original plus 3 replacements sent from Colt) all had a small amount of what I think is some type of thread locker on them. It was dried, yellowish, and in one spot midway or less up the threads. Thing is, every time I started to screw the screw in to secure the sight, the wrench would begin to spin when the yellow thread locker engaged the threads. This happened on several screws, I eventually removed the compound in order to thread the screw in.
I did use a small amount of 242 Blue, putting a drop on a paper towel, the dabbing a tiny bit onto the screw with a toothpick.
One thing that is still concerning, did I get the screw tight enough? It is engaging the front sight, I grasped it and cannot pull it out by hand. But when the screw decided it was done (I felt no resistance), the wrench again began to spin.
I'm of the opinion that frankly Colt would be well off to use a larger set screw to secure these front sights, the screws seem far too delicate on the inside of the Allen head at this tiny size. Hopefully I now have a secured front sight and if so I won't be changing it anytime soon. Really hoping firing at the range Monday won't see the sight launching from it's perch.
ETA: Tools. I now have several .050" Allen wrenches. Tiny as they are, inconsistent and varied in quality.
My latest set was purchased for this job, Chinese junk as it turns out. Will be able to use larger sizes for work. Has Standard down to .050" and Metric down to 1.27mm (which turns out is also .050"). But the standard wrench began to spin very early, while the Metric wrench did not. Breaking out both Calipers and a 0-1 Micrometer, I found out why. The .050" wrench was actually .047" (ish) while the 1.27mm measures right about .0505".
I initially used a U.S. made folding key set that rounded off a slight bit (when I installed the fiber optic sight), so I cut the rounded portion off. Measuring that one, it showed right on .050". But I think anything that small, either the screw or the wrench is just bound to damage far too easily. Just my opinion, YMMV.