Unless you can direct the heat to a very fine spot and then know when to cool things off I think heat will worsen the situation. Are the shoes and cleats/screws new? Was there a threadlocking applied to the threads first (by you or the factory)? Did you apply a lube to the threads?

A spinning screw in the proper threads usually means that some of the metal making up the threads has been damaged. Heat usually doesn't do much for this. Knowing exactly how the screws were dealt with during assembly might help. Andy