I would avoid using red unless you never intend to change pinion gears again. I would make sure the grub screw and pinion are clean, then apply blue thread lock and tighten. Then let it sit overnight to set. If you're just assembling and then taking it out right away, that's your issue. The loctite needs time to set. If you use red, the only way to get red to loosen up is to apply a lot of heat and you would risk damaging things.