Brass Tub

How to remove brass screws broke in my bathtub?
I tried to remove the pop-up from the tub when the two screws brass or screw heads break. The rod is out and can easily be captured, however, the rod / screw does not move. The screw is small and boring. I lubricates to loosen different but this does not work. heat and lubricate it work? or can I try?
I do not use heat, can damage the tub. You can drill, or an easy to use, I have a fine needle, so it's not there. Go to Ace Hardware or Home Depot, tell them the problem and the size of the screw and get an "EZ out" and a drill for installation.