For 1/8'' and larger collars the main thing is to use a good quality allen wrench and file the end at the first hint of rounding. Another thing I have done is to go the hardware store and buy longer set screws. The little short ones that come with the collar just don't have a deep enough socket for the wrench to grab. As others have said, grind a flat spot on the axle and use locktite. For the tiny 1/16 and 3/32 collars there is almost no way to ever get one of those tight. I usually solder a washer on the axle. I don't think I have ever had a wheel fall off using these techniques.