revhead - Did you clean the screw? Put a dab of loctite on the screw, and then roll the screw on your finger to wipe the excess loctite off. This will leave loctite only in the troughs of the screw threads. Then crank it like heck!
If you haven't, you may want to try a new screw and/or shaft. The threads of one might be bad.
David - You can try gluing the shock bottom to the shock end. It's not uncommon in gas truck to use a dab of glue, enough to hold it on there, but not enough that you can't pop them apart to disassemble the shock.