I have done it the way Walt describes putting mulitiple dimples in the bottom of the dovetail or "peening" it to raise metal and give it a tighter fit because my rear sight (a Novak on a Springfield 1911) was really loose. I then went to the range with the medium hold loctite and a bench rest. I shot while moving the sights to fins zero then marked the sight and frame wih pencil and removed the sight. I then installed loctite in the dovetail, put the sight back, re-checked zero while loctite was still wet, and adjusted if nec. Once I had sights perfectly positioned, I added a drop of loctite to the set screw hole, tightened the screw, rechecked zero, then let it dry.
Based on my internet searches before I did this, I concluded that this was the recommended procedure for many.