That's incorrect.
The sight LEAF screw just screws out, but the elevation screw is more complicated, unless S&W has changed the sights in the last few years.
The S&W rear sight elevation screw assembly is a three part unit.
The actual screw passes through the sight base.
On the under side of the sight is a square nut that fits into a dovetail slot in the frame.
The screw is secured with a tiny "Circlip".
To remove the screw requires removing the entire sight.
To do that, carefully use a real gunsmiths screwdriver bit to unscrew and remove the screw that's toward the front of the sight leaf.
Slide the entire rear sight assembly off the rear of the frame.
Unscrew and remove the square nut from the elevation screw.
Turn the sight over, and use a DULL Exacto hobby knife to carefully pry the Circlip up and off the screw.
The Circlip is pried UP off the screw, not sideways.
Keep your thumb on the bottom of the screw to prevent loosing the Circlip. You can also do this by working with everything inside a large plastic bag to catch things if they get away.
Ease the elevation screw out of the sight base, being careful not to loose the TINY spring and plunger in the screw head.
To install the new screw, lube everything with a good lube, then install the tiny spring and plunger into the elevation screw head.
Install the elevation screw it into the sight base by using a small punch to depress the spring and plunger as you slip the screw into the base.
Place the Circlip on the bottom taper of the screw then push it down until it snaps in place, using a tubular clip installer, or a pair of needle nose pliers.
The Circlip is installed DOWN onto the screw, not sideways.
Screw the square nut on the elevation screw, then slip the square nut and sight assembly back into the slot in the frame.
Reinstall the forward leaf screw.
Here's a picture of the S&W rear sight assembly.
The screw is part number 13, the square nut is part 16, the Circlip is 15.
http://www.stevespages.com/ipb-sandw-general.html
You can buy new elevation screws from Gun Parts Corp, direct from S&W, Jack First Gun Parts, and several other sources.
My advice, buy an extra Circlip or two, and possibly the elevation screw spring and plunger. These go bye-bye very easily while working with them.