I've used several methods, all work. Bench grinder to the face of the tool if you are just making it a little shorter to remove the rounded off edges, hacksaw if you need a custom length. An angle grinder with a thin cutoff wheel works well also.
A vise to hold the allen wrench is a huge help. Vice grips if you don't have a vise available.
Finishing the cut by holding the face against a bench grinder for a second will clean off any burrs.