Don't know how it is in the UK, but there are plenty of places that specialize in fasteners around here (a mid-size American city). I buy most of my hardware from a place called Pinellas Fastener - black oxide, stainless steel, cap head, socket head, whatever. My last purchase was for a hundred black oxide socket-head (i.e. - Allen) 4-40x3/8" screws - cost me about $2.50US.
Not exactly convenient for you, but the point was to give you an idea of where to look. The small specialty shops reign supreme in stuff like this, so they won't likely succumb to the Tesco-effect (using a place you'd be familiar with; on my side of the pond we'd say "WalMart effect").
Bike shops will likely have socket-head screws in stock, but they'll be pricey and probably in a limited range (M6 at the very smallest, I'd guess).