ORIGINAL: bingo field
You might want to try a drop of the removeable lock-tite on the screw that secures the collar. Just don't get it on the axle. Don't bother asking how I know about that......
In addition to the loctite, file a flat spot on the wire and make sure the set screw is engaged in that area. This way, even if the set screw backs out a little, it will still be stuck in the flat spot area.