How would you tighten these threads?

For some additional ideas on the nylok approach, you should take a look at a nylok set screw. There's a machined slot parallel to the axis of the screw, filled with nylon. If you have a mill, or access to one, you might be able to machine a slot deep enough to stick some small-diameter nylon rod in there.
 
Wrap it with teflon (plumbing) tape. Might have to replace the tape periodically.
 
For some additional ideas on the nylok approach, you should take a look at a nylok set screw. There's a machined slot parallel to the axis of the screw, filled with nylon. If you have a mill, or access to one, you might be able to machine a slot deep enough to stick some small-diameter nylon rod in there.
good idea, or a simple filing of it might be enough.
 
Not the most elegant..... But you could use a punch or chisel to make a small nick or flat on the "Peak" of "a" thread or multiple threads, such that the width of the peak was closer to or a slight interference with the corresponding internal thread. This would tighten things up a bit.

Something similar to this is sometimes done to exhaust manifold nuts to keep them from loosening through the heat cycles.
 
Take and hit the thread with a punch in a few places . It'll raise up a very small area , enough to cause a little interference on the threads . Or , squeeze it in a vise just an RCH and get it out of round a bit . Same outcome .
 
The most elegant fix would be to squeeze the cap just enough to distort it out-of-round. Viola, tight cap!
 
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