Just lube it up. They usually don't go on that tight just a little snug unless the shaft wasn't properly threaded which I have seen many times. You hold the prop with thick towel and tighten with a nut driver usually but any means will get it on wrench, socket and ratchet but do not us any power tool as it may gall it or spin the prop and cut you badly. Only make contact with the nut to the prop and don't tighten it hard against the prop or you will jam the drive dog forward and loose your gap and ruin it.
Did you put a decent flat spot for the set screw on the shaft and grind the end of the setscrew flat before tightening it in with liberal coat of red locktite ?