My preferred option is to buy black hex head screws, they just look better to my eyes. If your in europe the imperial thread hardware is hard to find, easier to convert it all to metric.
Two example photos attached, the screws for the transformers were dipped in the gunblue to convert them. The one with the brown colour transformer bell was treated with the gunblue, then brushed with steel wool to lightened the colour, and painted with some clear coat. The chokes were also brushed with steel wool, then clear coated as the gun blue wouldn't react with those at all. The other amplifier is just painted gloss black. Should give you a few ideas...