Bike Forums - Help!!! Dérailleur Problem

The other night I did my usual drive train cleaning including taking off the pulley wheels from the dérailleur and cleaning them. When I replaced the pulleys when tightening the upper one (from the ground) when the hex screw was tight the pulley wouldn't move so I backed off about a turn and it moved fine. The next night while riding home (in a pouring down rain I might add) all the sudden I had no gears I looked down and the upper pulley was missing. Stopped at the bike store picked up a pulley and hardware and replaced it last night. The same thing happened the pulley wouldn't move when the screw was tight. the screw that came with the pulley was longer and again I backed off one turn and it was fine and it was well seated(I am not sure that is the correct term) in the bracket. I checked today before I left work and it had come loose again I tightened it and rode to the bus and it was loose again. Somebody out there know what might be wrong? I easily make my commute and tighten it down but the weather is supposed to be nice this weekend and I hope to do some ridding would hate to stop every half hour to tighten or worse yet lose the pulley while I am out in the sticks. Some one at work mentioned locktite should I try it? (careful not to get it on any of the moving parts of course.) Oh yeah it is a Shimano Deore LX 21 speed