That's the best way I can think of to anneal the EZ-out and then twist the end of it off in the hole. How much distance is there between the setscrew and the area where a drill chuck or a Dremel can turn freely? I can probably fabricate an extension shaft for a drill motor or a Dremel that will give you a little more working room. I've got a Foredom gunsmith's flex shaft rotary tool with a variable speed foot pedal and a very small-diameter handpiece- - - -want to borrow it? I've also got some solid Carbide dental drills.
Jerry

"It is better to be silent and be thought a fool than to speak and eliminate all doubt!" - Abraham Lincoln
Cringe and wail in fear, Eloi- - - - -we Morlocks are on the hunt!
There is nothing noble in being superior to your fellow man; true nobility is being superior to your former self. - Ernest Hemingway
Love your enemies and drive 'em nuts!