What is the size of a normal potentiometer screw hole?
The leads on the relatively small potentiometer you linked to in your comment are solder tags, not bolt flanges. The orientation of the device in relation to the tags means even if you could find sufficiently small bolts (M1.6 or smaller) tightening them would be mechanically difficult. Straitening the tags is likely to shear them. 

If you cannot heat the device for soldering, say due to lack of tools, or need something removable you might be able to use the very smallest "spade" terminal connectors used in some push-fit (eg. automobile) applications. You would however need a crimp tool to fit the terminal ends to your cable, and frankly it will be both mechanically and electronically inferior to soldering.