Drilling into the end, cutting both shaft and pulley, is an established technique but you will find it difficult to do accurately with an aluminium pulley as the drill will start to wander. Also, it's a mistake to drill for grub screws at opposite sides. You are now balancing the force of one grub screw against the other. Much better to drill at 90-120 deg apart, so both grub screws and the bore of the pulley grab the shaft. That might give some useful extra grip. You could just file a small flat on the shaft for one grub screw to bear against?
Good luck - I haven't reached this point on my own machine yet!