Thanks for bringing this up. In fact, the cover screw on my Stewart Warner is threaded all the way causing me it to over-tighten. I got to thinking and came up with the following bright idea, absent an original cover screw, of course.
I dug up a nut to function as a "stop position" on the screw. I inserted the screw through the cover and put on the nut at different positions until I got the screw to tighten against the horn frame while not letting the cover bind on the housing. After doing the above, my horn sounds a lot better, but not perfect. (One note: it is very easy to short out the horn with the nut assembly described if you are not careful--I did so and saw smoke! Luckily, my main 30A fuse at the starter junction blew to save the day)
How hard is it to find an original designed screw for the job?