I am trying to take the handle off my shower faucet to fix a drip. I can turn the hex screw both ways but it tightens both ways too. I'm assuming the hex screw needs to be out before the handle will come off? Or does it just need to be loosened? The handle does not move even when the hex screw is loose. Any advice?

The hex screw loosens when you turn it counterclockwise. You shouldn't have to take it all the way off. Sometimes the handle sticks on the stem and is difficult to remove. That's when a faucet handle puller ,(see image) comes in handy. Good luck, Tom