Ash your original posts implies your CVD's have fallen apart twice recently so you've bought a rebuild kit, hence the confusion.
I too used to have this problem and also tried super glue, the trouble is it sets almost instantly as you're putting the grub screw in. Threadlock is ultimatly stronger but also sets slower so you can get the grub screw all the way in before it sets. I do often find the stuff you get with the MIP's a bit poor, if you get a little bottle it will last you forever.
Grinding a flat on the pin also works well, but make sure you orientate the pin so the grub screw bites on the flat when you assemble, easier said than done
Lastly loads of people use the heat shrink thing but it always falls off for me too, perhaps a blob of glue on that wouldn't hurt?