You might try "Talon Grip". It's a rubbery, textured, self-adhesive material. They make it for specific handgun grips, but they also make it in a plain sheet. I think the one I got was 5" x 7".
Where on the head would you put it? I've always used the slots in the head for extra grip when needed, if you have the first version with 6 slots that might be harder though.
If you want to get it knurled, anyone with a machinist's lathe should be able to do it. Of course, it'll damage the anodizing and may not be a great match to what's on the body already.
I'd be inclined to look at the grip material recommended above. If it was my own light, I might try a wrap or two of gaff tape.
Another thought that comes to mind - make sure your threads are lightly lubricated with something suitable. This should make it move more lightly and smoother. You may also want to try inserting a very thin o-ring at the base of the threads on the body. The rubber will stop the head from loosening on it's own, but you won't have metal-on-metal torque to break when adjusting the head.
Apologies if any of these ideas are already obvious to you, I'm just running through what my own troubleshooting would be in this case.
Knurling... That's the word that I was looking for!
Anyway, yeah I figure that it'll cut though the anodizing, whatever. I just want some texture. But I don't want texture like sandpaper that'll damage my pockets, or tacky that will make it hard to get out. The standard knurling on the Surefire body would be perfect I think.
As far as the lubricant / grease, what is good? My heads are always hard to turn the first time of the day, but then if I keep turning it, it loosens up. Leave it on my pocket for a bit, and the head is hard to turn again.
So I'll consider whatever option really.