Razor saws are available from model shops and the likes of Axminster tools, who offer them with 0.25mm thick blades. Intended for wood or soft metlas, but would probably cut brass and mild steel.
http://www.axminster.co.uk/victor-jeweller-s-saw-910295
I haven't had to re-cut slots in very small screws, but I wonder if it would be possible to carefully grind either side of the teeth of a fine toothed HSS conventional or junior hacksaw blade to the desired thickness? As only a shallow slot is needed it would not be necessary to reduce the thickness of the entire blade, and in principle only a few inches need be treated. I have only had to tackle large screws where a standard hacksaw blade produces a slot that it too thin, and for this I used a suggestion I found in a book, which was to use two or more blades in the same frame according the the thickness of slot required.