5-40 x 3/4"
 

Does anyone know where I can get a 5-40 x 3/4" headless screws for some links?

McMaster-Carr:
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mcmaster would be a good place to start "thumbsup"

How about a dozen or so? I don't need a hundred.

You might try a cutting room at local hardware store, I get and use 8/32" X 3/4" set screws that fit a 2MM hex wrench and work great for making links using Revo or Jato rod ends from my local Ace Hardware.