The first time I had my nostril pierced, I used a screw. Two days later I ripped it out while drying my face and couldn't get it back in again... and it was a Sunday so I couldn't nip over to my piercer's to have it put back in. The second time I used a ring, and it's now been fully healed for nearly two years.
If you think you can remember to be careful with it, a screw is probably fine... just remember they're a pain in the arse to get in and out!