Yeah I might do that actually, it probably would be quite satisfying.
I found some that actually are taps rather than screw extractors but only an M8, which is metric not imperial, so I'd have to order 3 things - a piece of threaded bar, a tap and maybe a drill bit, either of which could be wrong.
Unfortunately I don't think I retained the bit that came out, so I think it might a case of finding a machine shop that's got some threaded bar.