Originally Posted by SharkD
The rotor retaining screw definitely matters (it prevents the rotor from slipping while you are replacing the wheel -- if the rotor isn't seated properly, it could lead to a bearing failure from the wobble), and should be replaced every time you remove/replace rotors.
I would strongly suggest going to Sears and getting a set of drill-out stripped head remover bits, that way you don't have to destroy the threads in your wheel hub.
When tightening the new screw -- like the bleed screw on the calipers, it only needs to go finger tight + ¼-½ turn.