Since the 4mm shafts don't have flats like the 5mm shafts, do we need to modify them by putting a flat on them or will they work fine being round?

Flats always help to reduce the chance of slipping so they are always a good idea. Be sure to at least put a flat on the extruder motor.

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Another option instead of filing a flat, is to add some superglue, that way you'll get much less of a tendency for the gear to slip on the shaft. I ended up having to do that after my screws eventually came loose.

I can confirm this, especially for the extruder. 90% of my initial troubles with Tantillus were due to slippage.