You can also just go to the hardware store and buy a few hex nuts that fit the thread of the lug screws. Insert them through the rim eyelets first and then screw them onto the lug screws...Screw the lug screws in as usual. Once the tuning is where you like it, simply tighten the hex nuts back down against the lug inserts and...voila!
Or...
You could get some light duty (VERY important to get LIGHT duty) thread locking liquid and add a drop to the threads.
One thing you absolutely want to avoid is to lubricate the lug screws. This is a common mistake made when people clean up their drums. It's sometimes a side-effect of the methods used to clean the lug screws/inserts. A little oil is left behind and that makes it extra easy for the lug screws to loosen when the drum is put back together.
Or...
I have been told that Teflon tape (used for plumbing) can be wrapped around the lug screws to make them a bit more resistant to backing out...but I haven't tried it yet.