Loctite 242 low strength thread locker. Or try 290 which a medium/high thread locker. I use 290 but I let it wick into the axle/rim rather than the thread of the grub screw. That rim will not come off. I also use it to hold the spur gear on. Used to have the same problem in my 1/24th racing. Cost me second place in a series championship in the last race of the season.
cheers
rick1776
cheers
rick1776