I want to replace some small screws on a telecaster style guitar, that allow the saddles to be pulled further to neck or bridge side. I took one to Home Depot, but after a lot of looking they have nothing that fits -- nothing in the right size and nothing in the right type (pitch?)

I'm not confident in my ability to precisely measure all the screw dimensions, to order online, so I'd rather walk in a store. But if hardware stores don't carry these type of screws, where would I go? An electronics store? Fry's maybe?

Bernie Sanders for President!
Do you have any smaller mom and pop type hardware stores around? The one near me is THE place to find any screw nut or bolt you may need. It is a chain store (ACE I believe) but is locally owned.
Take the screws to ACE hardware or your local fastener supply and you can get them. if that isn't doable, www.stewmac.com or www.guitarheads.net

But you need to know what they are before hand. 99.9% of the import (non USA made) use the same type
2002 PRS CE22
2013 G&L ASAT Deluxe
2009 Epiphone G-400 (SH-4)
Marshall JCM2000 DSL100
Krank 1980 Jr 20watt
Krank Rev 4x12 (eminence V12)
GFS Greenie/Digitech Bad Monkey
Morley Bad Horsie 2
MXR Smart Gate
I guess they're called "bridge length screws" and I found them for sale online at allparts.com and a couple other places. They seem to be the same size EXCEPT for length. Mine are 3/4" long and the ones I find for sale nowadays online are 5/8 or 11/16. However, I'm not sure if that measurement includes the screw head or just the shaft, so I'm not really sure how to compare. My current ones are 3/4" with the shaft.

I really do not want a shorter bridge length screw since I don't see that I have much length to spare to set intonation correctly.

Bernie Sanders for President!
Many music stores carry Allparts parts, you can also check around and some also have parts that are not on the shelf, and you might be able to find them at Fastenal if one is in your area. Those are saddle adjustment screws, not sure what the proper name is, standard parts, and often you can find screws, saddles and all at music stores. Length is usually the length of the shaft without the head if I remember correctly.
Hmmm...I wonder what this button does...