I really dislike these things, as much as I love old Wms and Weaver brass that they permeate. And, these tiny things are typically, or at least often, brass, which means that a magnet is no help when one goes astray.
Thankfully die-cast pieces do not use many/any of these "M2's" and the like; brass locos are usually easier to fiddle with than die-cast, but not when these are involved.
I imagine that someone on eBay (don't look in the RR category only) offers these; also, just try searching for "M2 screws" and such on the Web.