Probably a silly question...but do I need a keyway on my ballscrews?

For the X axis, I'm using direct drive 25mm Oldham Couplings which do not have a keyway. The stepper shaft is 8mm, the ballscrew shaft is 8mm, so I'm assuming that the 2 grub screws provided will be sufficient?

For the Y axis, I'm going to be using T5 x 16 wide pulleys and either a 1:1 or 2:1 ratio. The stepper shaft is 8mm, the ballscrew shaft is 10mm. I have no machinery to create a key as I only have one milling machine and it's the one I'm converting...

For the Z axis, I'm using T5 x 16 wide pulleys and a 3:1 ratio. The stepper shaft is 8mm, the ballscrew shaft is 10mm. Again, I have no way to key the shafts unless I take them to a machine shop.

Soooo...are there any other ways I can fit these? Will the grub screws hold? Should I "dimple" the shafts to seat the grub screws better? Or maybe I can roll pin right through at 90 degrees to the grub screws? Or should I just stop arsing about and pay someone else to key the ballscrews and pulleys?