They make a yellow keeper that just simply snaps over the connector ends and holds them in place and it's reuseable for seasons to come. Some get neoprene hose of a diameter to slide over the extension end to help add friction to the servo lead connector and hold it in place too. Some use tape, but again it has to be replaced often. Your plane has one aileron servo on a tray in the middle of the wing and your extension is going into the receiver on the aileron channel (typically #1 on Futaba anyway). Since your extension and servo are new, you won't have to worry about the first 30-40 insertions before the connection loosens. I never saw a need to date to use anything on this type of connection personally unless I could feel it move when I gentle tug on it that it's a loose connection. I lose planes usually from forgetting to check my aged clevis's on a preflight check, and once the elevator clevis goes, it's an expensive lawn dart, but brings a few chuckles from the crowd.

The heavy duty extension I believe are for higher torque servos and generally aren't required on a .40 size trainer. I know some that use it regardless since $6 extra isn't a whole lot of money. Wait until you really start buying crazy upgrades, it's a slow addiction, but an addiction nonetheless.