Sounds like the threads are oversized, probably from being machined with a dull tap. That's the kind of stuff that happens when you put one of those 'machine operators' (or what us machinists call 'semi-trained monkeys' ) in charge of a CNC milling machine and don't have any in-process quality assurance procedures.

The blue LockTite will do the trick. Another trick you can do is take a ball bearing, one just about twice the size of the tapped holes, sit the ball bearing on top of the hole and whack it with a hammer. Do that to each hole. It'll close up that top thread a little so it won't be so loose. Then do the LockTite deal and never have to worry about them coming loose again, until you decide to loosen them.

Or send the sight back and tell them you want one that was done right.