Step 6: Tap the holes
Grab an 8-32 tap, throw your coupling in a vice, and tap the holes. Afterwards, check to make sure that you can put an 8-32 screw far enough into the coupling to press against a shaft in the coupling.
While you're at it, take a look at your motor shafts. If there aren't flats, use a dremel or a bench grinder and add a flat on each shaft. This will help the setscrew hold the shaft in place.
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