uhmw is really soft, which means you need really coarse threads. Trilobular plastite screws probably work the best - they're self-tapping screws specifically designed for use in plastic, with a very coarse thread with a special profile for gripping plastic. Sheet metal screws will not work the same.
http://www.mcmaster.com/param/asp/PSearch2.asp?reqTyp=parametric&act=psearch&FAM=tappingscrews&FT_6145=249281&FT_6150=249512&sesnextrep=382452884329952&ScreenWidth=1440&McMMainWidth=1235