Loctite

Get some Loctite Threadlocker, has worked for me for a long time.

Fingernail polish

Enamel Fingernail Polish will also work the same way Loctite on small screws. I've used it many times to make a screw stay where it belongs. Just place a small dab of polish on the tip of the screws treads and screw it in and leave it set for a day to make sure it cures. 

I used the polish to lock down a motor mount in one of my Brass Steam Engines (2-8-2) that every few hours of operation two screws would rattle loose. My buddy who makes RC Drowns for a living told me to try the Enamel fingernail polish he said the two paints are very close and they will lock down small screws and nuts that take a lot of abuse from vibrations, that was 3 years ago now and that mount is still firm and and doesn't have any problems. I've used the polish another half dozen times on other projects with the same lock down effect just let the painted screw dry for 12 to 24 hours and that's where the screw will stay.

Should you ever need to remove one of the locked down screws that's no problem just un-screw it and when you replace the screw put another dab of the polish on the screw.

Yeah, loctite

This is a problem for all sorts of screws, not just on trains. I use LocTite Blue, so that I can get back in later if necessary. I've never had any train stuff come loose once the LocTite is applied. A little 9g size will last essentially forever for model railroading, and probably any other non-industrial use.

I have a brass caboose that has teentsy-tiny, itsy-bitsy screws holding the trucks together, and more than once they came apart at very inopportune moments with predictable consequences. These screws are so small that very expensive jeweler's screwdrivers are required to effect the repairs - the usual wide array of model railroading screwdrivers are nowhere near small enough. After using a powerful magnet to find the !@#% screws, they were put back on to stay with LocTite, and so they have remained ever after...

And yes, I have a couple of those Bachmann 2-6-6-2's and they both have worked loose. They're not lose any more.

How small are those

How small are those screws?....ha...ha

Loctite, but use the Blue,

Loctite, but use the Blue, not the red.

Never the red.....

The threads are regular 00-80, I think. But the real issue is that the slotted heads have VERY thin slots (they're bladed rather than Phillips).

Thankfully in this case the screws are magnetic. I doubt I'd have found them if they were non-magnetic!