I have that cheap pick gun from dealextreme and have found it overall to work well. I have one major issue though, which is that the little nut and screw that came with it to hold the pick in place is crap and loosens under vibration (i.e. use of the gun!). I replaced it with another screw and a wingnut I had just so that it would be easier to tighten without a tool but it still constantly loosens after very limited usage, sometimes sending my pick flying away.
Obviously, what I need is a simple nut/screw/washer type solution that will NOT loosen under vibration but also allow me to loosen it if I want to so I can change the pick out. I'm hoping to be able to find this solution at the hardware store but I'm not sure what the best solution is, any ideas? :)
Here are some relevant images of the gun:

