I often want to design and print parts which fit on a metal shaft with a diameter of a few millimetres. 3D printers don't accurately print holes. The diameter of the hole in the printed part is typically less than designed for, due to factor such as the plastic squishing and expanding horizontally or the plastic expanding as it leaves the nozzle. If the part is intended to run freely on the shaft, it's not a problem. Just drill the hole out, for example with a pin vice, and maybe sand or file it if needed. I have also tried using a reamer to improve the finish, though I am not sure it makes any difference.
It is a little more of a challenge to make parts with holes that provide a snug fit. This would be for the case when you want to the part to be rigid, or at least firm, on the shaft. You can design the part with a hole for a set screw. I have often done this with 2mm and 3mm screws. I usually design the part with a hole 1.8 or 2.8mm for the screw and then use a M2 or M3 machine screw. It generally works quite well. I have had less success using grub screws. I think their thread isn't deep enough to cut into the plastic. Tapping the hole works. It is still not always a satisfactory solution as some parts don't have a good surface for placing a hole or for getting a screwdriver. Think of a gear with a hub the same height as the teeth, for example. Also, there are cases where you want a fit that will hold under normal use, but where the part can move on shaft if enough force is applied.
I decided to try experiments with a few different ways of making a snug fit. In each case, the shaft is a nominal 4mm in diameter and made from stainless steel. The measured size was about 3.95mm. Usually I find steel shafts are slightly under the nominal size and brass shafts are slightly over. The obvious method is just a simple hole, which I did at 4.0, 4.1 and 4.2mm diameter. I also used a 6mm hole with ribs in it. The ribs are 0.4mm wide. You have to use the Arachne slicing algorithm for them. Finally, tried a 4.0mm hole with a 10mm by 1mm cut out. The designs look this like:
Slicing for the ribbed version shows that there will be a single line of filament:

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