A drop of blue Loctite should do it. Don't use the red stuff on small screws or anything that gets screwed into aluminum.
I take it the shaft and knob are left-hand-thread, every time you rewind a film will just tighten the thread a wee bit more.
Loose rewind knobs can be dangerous in cameras where pulling the knob up is what releases the back. If the knob comes off there is little to keep the shaft from getting pushed into the camera. When that happens the shaft is rattling about inside the camera and there is no way to get the back open to re-insert the shaft so you can, er, open the back.