Sometimes the smaller Allen wrenches get stripped and have the corners of the hex rounded off. If it looks like that has happened, it can often be fixed by simply cutting or grinding a couple of millimeters off the end to get back to a fresh cross-section with sharp corner. Do be careful not to get it hot if grinding, as that will ruin the temper and make it strip again all the easier.
I've not had any problems with any of my screws backing out, so I suspect that they only need to be tightened to a good solid snug. If you need more than that, it may be time for a little dab (very little dab) of locktight.