So long as it isn't from an expensive guitar I use a tiny dab of thread locker. The one I have is
Looking online this looks like a similar product.
To be honest had I thought about it I would have raided my wife's nail varnish :0)
If you don't have access to nail varnish and get thread locker make sure to protect the finish on your CBG and don't smother the screw in it, you just need a dab down one side.
Got a girlfriend or wife?....fingernail polish, works like thread locker, easy to break loose.
Like Richard said nail polish works very well.
If you use Loctite as David suggests make sure you use the low (purple) or medium (medium) strength, not the heavy duty (red) which often requires heat to break loose. Nobody wants to have to take a torch to a CBG... well... maybe my neighbors do... but that's another story. :D
In either case don't over do it because it's easy to strip those tiny hex heads and allen keys..
By medium (medium) I meant medium (blue). lol
Are the strings not putting enough downward pressure on them? I've never had that problem with any of my commercial ones, easy to turn for adjustment and seem to stay put....
I have some cheap Chinese ones I got from Amazon and the set screws are very loose. I think they tap them over sized so the screws will still fit after they plate them. Loctite does the job, just need to let it cure overnight.
Thanks for all the insight. I raided my wife's silver nail polish and that seems to have done the trick. " A little dab will do ya"!
I'm with JL on this one. A common problem I find is trying to remove these screws after a period of time. They get rusted in place from perspiration.