I use regular plated #8 and #10 sheet metal screws and a nut driver bit in my cordless drill - in over five years I've had three screws break from my driving them without pilot holes in hard wood (two in bubbinga, one in oak). Never had any break while turning, and never had any problems with heads stripping. After four or five uses, they do begin to round, so I toss them and use new ones. I've a Plano box with different lengths sorted out and when I get low, I stop by a big-box hardware store and pick up a contractor's pack of the appropriate size. Don't be tempted to use stainless steel screws as while they are stronger, they're also more brittle. I've heard stories from two fellow turners who learned the hard way not to use them (flying chunks of wood isn't what we're all about).