stop criterion for stepAIC

You completely misunderstand: have you even *looked* at the help page?

Description:

     Performs stepwise model selection by exact AIC.

!  If you don't know what AIC is (and it seems so), please research it
(e.g. in MASS the book whose support software you are using without any 
credit).

I am using the function stepAIC (library MASS) to run a backward 
elimination on my linear regression. The new model stepAIC calculates 
contains coefficients that have a Pr(>|t|) value below 0.1, but I'd 
like to have only coefficients with 0.001 or below.

Nothing to do with AIC, and very dangerous since stepAIC works with terms, 
not coefficients (and a term may have several coefficients).

How can I change the stop criterion for stepAIC, so that it is more 
strict? There is a parameter "steps", but it is only a upper bound of 
steps.

The only thing you can do is increase `k', for a pseudo-AIC.

Brian D. Ripley,                  ripley at stats.ox.ac.uk
Professor of Applied Statistics,  http://www.stats.ox.ac.uk/~ripley/
University of Oxford,             Tel:  +44 1865 272861 (self)
1 South Parks Road,                     +44 1865 272866 (PA)
Oxford OX1 3TG, UK                Fax:  +44 1865 272595