Can you send me a picture of what you’re talking about please?
Hi Lynn: Are you sure it's from the set screw and not a bad washer? Turn the water source, hot and cold, to the tub and take the faucet apart and check out the washer. Here are a couple of sites that may help with this:
It's not as formidable as it looks. Actually, it's pretty easy. I do my own and so can you. I have faith in you:) Good luck
Wrap some plumbing tape around it and then re-install to see if this helps.