Get everything in position and tighten the setscrew(s) then tap them in a bit with a small pin punch in the bottom of the allen-type setscrew then retighten. That will increase the grip of the screw. Better yet, loosen rotor and slide it back up the shaft. Use the marks to locate where to drill some dimples into the shaft. Don't go very deep. Use a bit the same diameter as the setscrew and only drill deep enough to make a cone-shaped dent.