Unfortunately oil on the thread will prevent any sealant from working.......the screw should be removed, then allow some time to drain. Flush the hole/threads clean with some carby or brake clean in a spray can and air dry using compressed air........Clean up the grub screw and coat the thread in a liquid thread sealant (I find a German product called Cyberbond to be the best) then replace the screw and do it up until just bellow the hole in the case as Bill suggested. This sealant is anaerobic like loctite and will lock the screw once the sealant has set........ I would not use a thread locker type loctite for 2 reasons, 1 is the loctite will make any future removal difficult, and 2 not all loctites are successful in sealing oil........If you do remove it, be extra careful to use a good blade screwdriver and one where the blade fits the slot very well, to start it moving an impact type screwdriver works best as the hammer blows will shock the thread and start it rotating easier than just a hand screwdriver on its own........Good luck with it all.