Check out this video of how to attach servo horns and wheels!
The small black screws that comes with the servo can be used to secure a servo horn to the servo spline (the white gear shaped shaft). This is helpful if you make a project where there is a lot of strain on the servo horn, potentially causing the horn to pop off. To secure the horn with the screw, place the horn on the servo spline, then put the black screw in the central hole of the servo horn and screw it in using a Philips screwdriver.
The silver screws in the servo accessories bag can be threaded into the small holes in the servo horns to attach linkages or other materials to the servo horns.
The copper colored rings can be used to mount the servo to wood.