In general, if the key is loose, and you are not restricted from doing so, install it with a dab of Loctite PST, which should prevent it from wobbling around too much without making it impossible to remove.
Why is it loose?
Does it have excessive side clearance?
Is the key or keyway worn?
It is a capital mistake to theorise before one has data. Insensibly one begins to twist facts to suit theories, instead of theories to suit facts. (Sherlock Holmes - A Scandal in Bohemia.)