Are we talking knobs or somewhere else? First, you need to get a tight fitting hex key, and there were a few odd metric sizes used that are hard to find unless ordered from an industrial supplier like MSC, McMaster-Carr or Travers Tool. Once you have a tight fitting hex key (Allen is a brand, even though everybody uses it as a description) it sometimes helps to grind the end square and sharp. That should be routinely done when used wrenches get a bit rounded. Use a bit of WD-40 or other penetrating oil and let it soak on the threads for a while. Finally, use the tight fitting hex key and hope you don't strip the hole! Any efforts with the wrong size hex key will prevent the screw from ever coming out. I'll admit that in a pinch or when a screw is already rounded a bit, I've carefully ground down each flat on the next size up to get a tight fit, even tapering them a bit so they bite in to what's left of the hole. Still, you're way better off with the correct hex key.
If we're talking hex drive button head screws, those are a PITA. I usually end up cutting a slot with a Dremel and cutoff wheel, then removing them with a standard screwdriver. They get replaced with something more sensible.