I have a set made by Pachmayr, paid over $50 from a local gunshop, but I was in a hurry that day. They're good but I still have to do a little honing to fit specific screws. I think if you're clever with a grinding wheel, or dremel tool, and heat treating, you could make your own.
Speaking of magnetic, the other thing I like are these little magnetic steel parts trays, often found in auto shops.