Screw thingy and doohickey are definitely the correct terms for those parts...
For the cranks, that screw is what sets the preload on your bearings. You should loosten the two clamping bolts on the crank arm first, then snug up that "screw thingy" - but don't BMX tighten it. Snug, but not too tight. Ideally you'd use a torque wrench, but I doubt that you have one easily accessible. Spin the cranks and make sure that they're not binding up. Then clamp down the two bolts on the crank arm. Use the loctite if you have it. If not, you should be good to go if you set it up properly.
The Doohickey, I would not use loctite on. But that said, if you're using it properly and it's coming loose, then there is a problem. I'm not familiar with that particular doohickey, so maybe somebody else can chime in for you... if not, I'd take it to a shop.