I would try the Loctite first. It
will be your best bet for a quick and easy repair. For it to work best, the driver's crankpin hole has to be totally grease free. So, be sure to remove any old lubrication. Simply filling and drilling, then tapping a new crankpin hole can be very difficult to do correctly, as the crankpin holes have to be 100% accurate, or there will be a bind in the mechanism due to the hole being in the "wrong" place.
If that doesn't work, I would contact Greenway Products,
http://www.greenwayproducts.com/index.html to see if they have the correct replacement drivers, if the driver threads are totally gone, and the Loctite doesn't hold sufficiently. I've bought new drivers from them several times and the products are top notch.
If the threads have been totally stripped, I would try this technique with it, but
only if all other suggestions have failed and you feel comfortable attempting this. I have used this technique, once and it did work, but do this
ONLY if nothing else has worked and this is a last resort!
First, remove the drivers and siderods from the frame, if they are not already. Then clean them in a degreaser like Ronsonol lighter fluid. Do not use soap and H2O. (crankpin screws and the axles in brass locos are generally made of steel, and will rust, quickly, if wet!!)
Then "paint" the entire screw with a vegetable oil. "Paint" the associated siderod for the driver with the oil as well. You want the parts coated in the oil, but not enough that some oil will pool, or run off the part. A petroleum based oil could interfere with the epoxy curing correctly. Over this put just enough epoxy to coat the threads, without disturbing the oil. This is done by "dipping" just the threads into some epoxy. Dip the screw into the epoxy only about a 1/3 the length of the threads. Place the side rod for that driver, and the screw back into the driver at this point. The crankpin screw will spread the epoxy to the rest of the area. Remove any epoxy overflow on both sides of the driver as best as possible. Let cure for 24 hours. The coating of oil will prevent the epoxy from attaching to the screw, and will allow you to remove the screws easily. If by some chance the epoxy doesn't release the screw, with the siderod in place already, the loco will at least be ready to run when totally reassembled.
Now you see why I said only use this technique as a last resort. There is a chance that if the epoxy gets into an area where there is no oil, you could glue the crankpin into the driver permanently.