I have ordered screws for my player work from some of the same sources
that have been mentioned.  The ones from McMaster-Carr
( http://www.mcmaster.com ) have always met my expectations.

Another source in the past has been American Piano, which even after
its sale to Schaff, continued to sell their fine blued screws.  I lost
the phone number, but it's probably available from Schaff.

For player restoration, I refuse to use zinc-plated screws, preferring
a blued screw instead.  I found that I could take the zinc-plated
screws and blue them, using the "Oxpho-Blue" available from Brownells
Gun Supplies.

http://www.brownells.com/aspx/NS/store/ProductDetail.aspx?p=1072&title=OXPHO-BLUE~ 

I dump the screws into a small rock tumbler, add an ounce of the
"Oxpho-Blue," and start it up.  I come back in fifteen or twenty
minutes, dump them into a plastic strainer, wash them in lacquer
thinner, and air dry on cloth.  When dry, spray them with WD-40.
They have always held up fine, and look great.

When replacing screws is not an option, I tumble the original screws
with some Naval Jelly, thinned slightly with water.  After a few hours
of running, remove and dump into a strainer, rinse under very hot
water, and dry with a heat gun.  Then back to a clean tumbler, add the
blueing compound, and blue the screws.  They look like new!

There may be better ways to do this, and I would be interested in
knowing what other methods fellow MMD'ers use.

Al Pebworth
Chesapeake, VA
http://www.pebworths.com