Originally Posted by
SquidPuppet
Drill them out with gradually larger bits.
Don't even need to, really. The head is the only thing holding the screw in tension (and the clamp tight). Once you brake through the shoulder of the head, the clamp will spring open. Much easier than messing with a small extractor, if you don't need to.
Or, use the Dremel cutoff to just cut the screw through the clamping slot on the grip.