Sometimes you can use a small prick punch and a hammer and slowly back the screw out. Painstaking but sometimes the only way especially with small screws,
From the picture though, I would fill the screw hole with JB weld, flush and rotate the collar 180 degrees and drill and tap a new hole and move on. For any of these, I would alwasy use an anti-seize compound on the threads, Yes, it is messy but in the long run well worth a couple smudges on your pinkies.