I'd use a brass screw just in case, but yes, it's okay.
The "transformer" direction is solenoidal (wrapping around the axis), not axial (lengthwise), so you don't have to worry about clamping stuff down around it. But do keep wide metal objects away, especially from the corners (where the field is most strongly concentrated).
Is this a DC filter choke, or big switching, or..?
Tim