Insert bare stranded wire, tighten screw.
I really dislike these types of connections. In my experience the set screw needs to be retightened often, the copper gets all oxidized, the screws can loosen up and the wires fall out. Yesterda...
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You could use an adhesive to encapsulate the connection, although it shouldn't be necessary. Tinning the wire will afford a softer surface to be grabbed by the screw and should work out well for you.
