Hmm, ...use some spray can oil and clean the treading best you can, both grub screw and the clutch part. The treading in cast iron is sometimes a bit rough. Is the hand wheel like
this one? Use generous amounts of oil on the axle and the hand wheel part, screw too. I odd cases screws on turning parts turn in anti-clockwise, but usually clockwise. It depens upon the direction of the turing parts and screws affected by it. On most hand wheels the stop motion screw (clutch) and parts involved need to go on the correct way or it won't tighten properly.