I had this exact issue on my 85 SX carb. It wasn't that hard to drill out the pilot screw. Basically, it seizes near the end of the screw near the head. If you drill a bit, as close as you can get to the threads without touching them. You can drill out most of the brass of the threaded portion until only the narrow part of the needle is left in the hole. Stop at this point and use a needle nose and just pull out the needle. As for the siezed threads, just drill slighly bigger until you can see the threads of the housing through the brass. You should then be able to pick the coil of brass out of the carb body threads and you are back in business. I have an 85 carb for sale in the classifieds that I had to use this technique on. It works without too much trouble.
On a side note, when you get your replacement, use antisieze on the threads so that you won't have this happen again (or to the next guy 20 years from now).
- Frank
1984 200ES Big Red
1985 350X (x2)
1986 350X
1986 250SX
1984 Auto-X
1984 ATC70
1985 ATC70