Canon doesn't actually say WHY he has a screw in his head. But it's very obvious that he uses it to keep himself focused, twisting it when he's thinking about something or when he's annoyed and getting pissed. Also, I think he twists it the other way right before he fights Medusa but don't quote me on that.

But it's been said that Stein has done experiments on himself for the very same reason he does experiments on everyone else: he needs to know things and one of his way of 'knowing' something is through dissection. So. He more than likely put it there himself for some reason or the other.

Headcanon says he did it because he was bored and he needed a way to focus himself more because lol insanity issues and a need to be in control of himself when he got older kind of demanded it.

What's one thing you would love to RP--plot-wise that is?