John,
You can almost guarantee the little blighter has found it's way to the bottom of the box. But just in case it hasn't, put the shaft into neutral (bottom RH round knob), and turn the drive shaft by hand, with one of the feeds on the apron selected. By turning it backwards and forwards, you should be able to tell if it is jamming anywhere, or even dislodge it until it finally gets to the bottom of the box.
Get your best washing up bowl, and drain out the oil. Lift up the lathe on end and shake to see if the screw will fall out of the drain hole, if that doesn't work, then using a wiggly stick with a small bend on the end (piece of wire), try to hook the screw out thru the same said drain hole, or a tiny magnet well fixed to a thin metal stick. Don't try the magnet trick from the top entry point unless you can guarantee the magnet is stuck on the stick forever, as it will try to stick to everything on it's way down, and you don't want another gear cruncher stuck down there.
If you have used a clean washing up bowl, you should be able to reuse the oil. Don't forget to wash out the bowl before using it to clean the pots in.
John