When I'm securing a wheel with a collar, I'll take out the set screw, mark the hole location with a fine point sharpie, grind with a Dremel a flat spot, then with threadlocker set the collar (doesn't have to ungodly tight, if it can move, it wont slip off). Never had a problem with this method. When I need to take off the wheel, put a nice hot soldering iron on the set screw, once heated up it will loosen. I used to epoxy collars and set screws, but found out that method is way overkill..