I have a spektrum DS821 servo that has lost the threading at the horn fasten screw
I guess it was due to the use of a wrong type screw. what can be done?

You can buy the gears alone.  Rotor carries the same for many other JR servos, but not the DS821.

You *may be* able to get away with a slightly larger screw. There is some risk.

would they be compatible considering the Brand?

Nope.  In general, they are model specific.  There are sort of "families" of servos from JR itself where the gears are interchangeable, but I did not see anything there that is compatible with the DS821.

You can see multiple servos listed against each gear set in the search results below.

http://rotor.co.in/product-find-action.asp?pdt_name=jr+servo+gear&code=&x=0&y=0

Anwar, I think i'll call them and find out.
Since we are on this topic. Is there any guidelines for 'servo care'. they stay fixed in the aircraft and we hardly inspect them.
I found this damage out when i decided to change a servo horn, what a rude show it would have been if had been on the field 

If you pick the right ones (especially torque wise), and set them up properly (without binding, using the right arms etc), and do not crash; then servos do not typically require any maintenance.