I've had this problem several times.
Depending on how firm or flexible the pads are, you may be able to jiggle the old ones out and the new ones in without removing the grub screw. It doesn't solve the long-term problem, but if you need the bike fixed pronto, it's worth a try.
I'd be a bit wary of doing without the grub screw altogether, because then there'd be nothing to stop the brake pad gradually sliding back through the shoe, assisted by vibration, and maybe falling out altogether. They' re not always a firm fit in the shoe - hence the sometimes possibility of jiggling them out without removing the grub screw.