If I use a regular non hardened hex nut (maybe a grade 2 or a brass
nut) could I tap a hole through the side (through one of the nut flats
to the center of the nut) that would allow me to use a cone point set
screw to lock the nut in place after it's snugged down, or would
tapping the nut in this way mess up the nut threads so that it would
not thread onto the bolt ?

If it could work, tapping the nut would be easy and set screws are
cheap. Plus I would save time cleaning the bolts, applying primer, and
waiting for the loc-tite to dry.

Once the cone point set screw digs in, I don't think it would go
anywhere. It's just a matter of whether it can be done without messing
up the nut threads.

Do you think it would  likely work ?