Arbiter
Here's a few suggestions that may help: Run the loose part under hot (but not boiling) water then apply pressure to the joint and run under cool water to re-set. This process is more commonly used to help flex bent pieces back into shape, but I've had luck with it stiffening joints to a tighter hold. Use white glue. Run it into the problem joint, wipe off the excess and let dry. Then carefully move the joint. White glue isn't strong enough to create a permanent bond with plastic, but it may provide just enough of an extra layer to stiffen a joint. If not, it will easily wash away with hot water. Lastly, try a tiny piece of clear wax. Simply press into the joint, and wipe away the excess. It won't show, holds the joint and can be melted away with warm water if need.

Ken A
Clear nail polish has always been the easiest and best solution for me. Works for pretty much everything except ratchet joints. For example, if you have a ball joint that is to loose, pop it out of the socket and paint it with a light coat of clear nail polish. Let dry and re-attach. Works most of the time, doesn't change the look of the figure, and can be removed if you use too much.