[Kevan]

That's basically what I do Ken.

I pull the braid a couple of mm above the top of the guide and fold it back then poke a small allen key down the hole to make it easier to push the wire down then the M2 grub screws (they only need to be 3mm long).

As long as you don't use overly long grub screws so the top is flush with the top of the guide the thread won't cut the wire at all...if you're still concerned tin the wire with solder before putting it down into the hole, it'll reinforce the copper strands.