There are a couple of things you can do.
1.clean your dcjs with motor spray before you install the set screw.
2.use blue loctite on the clean parts. I recently have found It is best if you apply it on the barrel instead of the screw. Let it cure 30 mins at least before installing the screw.
3.use a very high quality driver. This way you can crank down the set screw without stripping it.
4.if this is not enough, you can slot the pin a bit. This makes them slightly weaker, but it can help the pins from coming out.
5.shrink wrap always helps keeping them together as well.
6.as a last resort, red loctite. It will still come off, but you need a really good driver.