If you're using the cardboard wheels then the small screw is FINE.
If you're using a different wheel, here ya go (http://servocity.com/html/long_servo_screws.html
If I was you, I wouldn't buy that because the shipping is like 10 times the price of the screw. You could check though, maybe since it's small they won't charge at all or very little. Should've bought them with your servos.
Don't use super glue because you'll need your servos in the future, trust me.
DO NOT use any other screws because that will mess up the spiral where you put in the screw. Then I will crack and good bye servo.
Also, could you post a pic of the wheels you're using? And the diameter. That way we'll be able to help you more.
I recently made the 50$ robot so that's how I know this stuff.