Glock Heinie sight - technical

Gents, I found that a Heinie sight on my Glock 19 started to move freely side to side. After I re-zero it, what do I need to do to prevent this from happening again? Loctite on the set screw? Loctite inside the sight cut? Blue? Red? Anything else?

Thank you.

If it was mine, yes, loctite, red.
Tighten the set screw, and then apply loctite around the base of the sight like they do with XS sights.

http://www.youtube.com/watch?v=ISUMmXiZMGw&feature=related