I hate to glue them, because they are tough to get out if you damage one, and don't offer any further index adjustment if needed. But loose nocks are real frustrating as well. I use regular fletching cement - small amount - and only when I absolutely have to.

Sometimes new nocks will tighten things up sufficiently as well. If they are already new, is it possible the arrows were simply fitted with the wrong nocks from the get-go?