For those times when you don't have (or can't find in the messy excuse for a workshop) the proper Loctite, you can improvise. Krazy glue works great if you don't plan on ever taking it apart. A dab of silicone rubber caulk or hot melt glue on the threads after tightening is good if you might take it apart later (not on tiny screws). For 1/4" and larger, just grab a cold chisel, punch, or center punch and mash a few threads lightly - best for things that vibrate.
Of course, if you have the right product, that's always best, but it's not always convenient or even possible