You can threadlock the grub "post" screw (the one that holds the outdrive cup onto the transmission) - in fact, I recommend that you do, as well as tightening it down as tight as you can get it. The blue stuff is more than sufficient.
The hex thing that the brakes ride on is actually called a "brake hub". Wierd name, but that's what they call 'em. If your brakes are assembled properly, and the brake hub/outdrive is properly installed, the discs should never come off the hub (unless the two screws that hold the shoe-bars to the transmission come loose).