I think you should always use thread lock on the set screw!, I use the red and never have a problem. Then to take it off you can heat the set screw with a soldering iron, or I use a small butane torch.
You def need a flatspot on the shaft. 5 min w/ the dremmel & its done. I (sometimes) use the blue locktite and a good hex driver and haven't had a setscrew come loose since IDK when.