When this happens I just usually figure I would have spent more than $7.95 in gas running around trying to find the correct screws, and live with it. Or, as others mentioned, I order more items which probably makes the vendor happy too.
I just ordered items from 3 vendors this evening so had to pay shipping charges x3. None of them had everything I wanted to order, and the prices varied enough between them that it was worth paying shipping from each due to the difference in prices on the purchased items. Ironically one of the vendors is just over an hour away but they won't let you pick up orders on site, and they charged the most for shipping! But, when they have items the other two don't you do what you have to do.
Midway USA recently advertised that they were decreasing shipping charges, and they really have. In addition the prices on some of their items have gone down. I now find them a lot more competitive than they were even 6 months ago.