Depends whether you want to sacrifice the pinion or not, but you can drill out the set screw so much that it becomes structurally weak and just slide the pinion off the shaft.
You can also find a pinion puller, or rig up your own with a slightly modded battery terminal puller available at the local auto parts store... Or just cut the pinion in half parallel to the shaft, stick a flat blade screwdriver into the slot and it will spread it enough to get it off.