Sid is absolutely correct about using the bow string wax. I tried the blue Loctite and ended up having a heck of a time cleaning the tip threads and the insert after removing the tips. Tried the wax and presto, no mess on the threads and they stay tight when screwed in. The leather patch that Sharkey suggested is frosting on the cake.
Great tips but do you guys really have that much trouble with them loosening up? I don't but I always clean the target block residue off each tip with my fingers while walking back to my shooting spot and kind of tighten them while rubbing off the residue.
It sounds like a leather patch might make a good arrow puller. I have a hard time pulling them out this time of year when it's cold because my hands are too dry. I just can't grip the arrows firmly enough.