I would not use thread lock until and unless I've snugged that screw down more than once to ensure that it will keep coming out on it's own.
If I did get to the point of some loc-tite, I'd use it VERY sparingly. It may not be obvious, but it should be -- that stuff is runny when applied and becomes gummy and then it hardens, so it should go without saying that you don't want any of it to run amok inside a revolver, no matter how tiny a drip of it we're talking about.
