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All the plugs I have used have screw on tips. If you only tightened them finger-tight try using a pair of pliers to nip them up a bit firmer. I haven't found them to come loose that way. Don't tighten them too much though or you could damage the conductor down the centre of the plug and crack the ceramic shell.
I don't think they would come off completely since that would require the plug lead to turn round a number of times as well. Obviously it would not be willing to do that as it is attached at the other end!
Good luck
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