This is a roof top unit. The compressor cooling fan blade won't stay on motor shaft. I tighten the lock screw with a large crescent wrench and it keeps working its way off.

Are you making sure that the screw is on the flat spot of the shaft?

Make sure on flat as HK said and use some RED Locktite

As previously stated, make sure the screw is on the flat of the shaft.

The set screw threads may be worn. I wouldn't use red Locktite, blue maybe. If you use the red & you ever have to change the motor, the only way you will get the set screw out is with a torch.

You might want to get a new set screw with a cupped point. Take the old one with you to your local hardware store.