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I don't like the how the stock set screws use a locking nut. Tightening the nut loosens the set screw against the gib. Instead I threw away the lock nuts and use green Loctite. Green is specifically designed for set screws and works very well at maintaining consistent locking even as you turn the set screw. You also apply it after installing the set screw as it's drawn in by capillary action.
UPDATE: This technique worked ok, but the set screws could still loosen over time, so I ended up going back to locking nuts.