This CIP Ball is designed to come apart in between uses for further cleaning to prevent the build-up of hard water or other agents. We do not recommend using Loctite or other sealing agents on the thread for this reason.
Attached are a couple of photos. I suggest removing the top portion of the Keg WaSsher (like in the first photo) and carefully using a small pair of needlenose pliers to grab on to the spinning piece. You should be able to spin the ball tightly on to that. After you remove the pliers the smaller piece should still spin freely with the ball tightly attached. If you still are having trouble, you can add a few layers of PTFE tape (also known as Teflon tape or plumbers tape) to help tighten the ball further.