Quads vibrate and vibrations will loosen your screws. Nobody wants bits falling off mid-flight which is why we use thread locker, often known as Loctite.
This is the blue stuff that stops things shaking loose but will let you unscrew them when you want to disassemble your quad to upgrade something. It's also non-drip making it easier to work with.
This is a 10ml bottle so it will keep you building for quite some time.