Oh. Well, I'd try using the gel or stick locktite. It works far better than the liquid stuff.
Also, put a little divot in the center of the pin with a file or dremel, so the set screw has a notch to key into on the pin. That will help keep the pin from wandering out as well.
Usually those tubes that the set screw goes into are threaded on both ends. Put in two screws. One on each end. It would actually let you tighten more without worrying about cracking the pin.
That's what I used to do prior to the locktite and notch method. I do have to say though, I haven't had that issue since I started using gel locktite.
Here's a link to it:
[ame]http://www.amazon.com/Permatex-24010-Medium-Strength-Threadlocker/dp/B000HBM564/ref=sr_1_12?ie=UTF8&s=automotive&qid=1238454742&sr=8-12[/ame]