I second the use of lock tight it works a treat.

If it has come loose a few times I would recomend inspecting the servo horn, the chances are its now slightly striped.

There are plenty of different strength thread locks out there a bit on common sence goes a long way.

Like SyCo said red is overkill for a servo, I recomend blue, but if u feel that's to strong pink is a lot safer.

My suggestion is to check out the fact sheet and recomended uses for each thread lock. Most servo Manifactures recomend using thread lock.

Note: lock tight is only good for metal geared servos