This article is from the Bicycles FAQ, by Mike Iglesias with numerous contributions by others.
Tighten cleat bolts until they _begin_ to bind. This will happen when
further tightening produces a vibration or squeal from the cleat.
Tighten no further or you may damage the mounting plate on the inside
of the shoe. After living for a while with a comfortable alignment,
remove each mounting bolt separately, apply blue loctite on the
threads, and reinstall. Should you later find you need to loosen a
bolt to adjust the alignment, you will have to reapply the loctite.