Before you spend the money replacing the hubs, be sure that the hubs are your problem. Look at the axle ends and make sure they don't have a lot of wear, or break down. If the axles are wore, replacing the hubs won't do you a bit of good.
As for installing "set screws" through the hubs, I would take a little extra time in doing it right. John Deere used these types of set screws on the 1963 & 1964 3-speed transmissions. Back then though, the axles were were solid steel without splines, so the set screws were in full contact with the axles. Since you have splined axles, the set screws will only contact the high ribbed splines. And as mentioned above by olcowhand, this limited contact will eventually wear down, and you'll be back to square one.
I personally, like the set screw idea, but if it were my tractor, I'd spend a little extra time, cutting keyway slots in both the hubs and axles first. The keyways will help to support the hubs to the axles, and also give more contact between the keyway and the set screws. When John Deere used the set screw method, they didn't use the keyway, and you will find loose hubs. But using both the keyway and the set screws combined, makes for very tight hubs, with virtually no room for wear and tear down the road. I too recommend using at least 2 minimum, 3 would be better. Just be sure to drill the set screw locations directly above the keyway locations.
One other note. Be sure to rub your axles good with vasaline before installing the hubs. This will help down the road if you ever need to pull the hubs back off, and vasaline doesn't stain your paint finish like grease does. I have changed all my areas that require grease, over to vasaline, due to the non-staining, it doesn't get hard like grease, and it cleans up easier. I even pack my wheel bearings with vasaline. Try it sometime, and I think you'll agree. If you have a garden plow, rub the plow down with vasaline too. It will keep it from rusting, always show that nice clean shine, waterproof, and will come off easy when you sink it into the ground next year.