Listen and follow Notchy Bob's instructions, he is correct, should also be made into a sticky for future needs.
Two (2) other ways to to stop the set screw from turning on it's own.
1. Back the set screw out and wrap clock a small piece of
teflon tape around the screw and put it back in the
hole and adjust as needed.
2. Back the screw out and very carefully bugger up or
slightly crimp the threads with a pair of pliers or
channel. Diligence is required, then put the screw
back in he hole and adjust as needed.
On some Lyman GPR's, the set screw is too short. Take the set screw out and put in a small envelope, so you do not lose it. Go to Google and look up you local "fastener" store, take the screw there and get one slightly longer,
That will fix the problem.
I have gone to my local fastener store and have been amazed how many items that have that fit guns.