hi david,
definitely not brass. the cylinders are subject to considerable for and aft forces in the frames and you dont want anything working loose.
socket cap head or allen screws are totally wrong for miniature loco work.
i have always used 'fitted' steel BA bolts with gunmetal cylinders. there should be a plain unthreaded portion below the bolt head where the bolt goes through the clearance holes in the frame. often the clearance size specified is far too big for something like cylinder bolts, and also far too big for commercially made bolts which are often undersize on the OD.
i make my own bolts for these sorts of jobs.
cheers,
julian