ORIGINAL: Brainanator
does the bandit have the plastic hex that goes into the rim? Make sure you are snapping that fully onto the pin, it should be tough to get off. If not you might need new hexes.
Bandits wheel mounting is directly on the pin with no hex adapters.
If the wheels are loose after running for a bit, the lock nuts need to be replaced. Or maybe the pin mount on the wheel is worn and the pin could slip out. You could also try to put the wheel lock nut on backwards where the nylon would be threaded first.