Just got my first set of actual rims. The one set, the screw that holds the centercap on is missing (used but in good shape) and not ever having rims before, I didnt know that that was all that held the caps on. So my question is, is there some way to hold the cap on better? Can I put some thread lock on it? What do you do to keep your center caps on?

use the screw it will be fine. thats how my first set of rims were. the 2nd second i had didnt have a center cap that covered the lugs, just a smaller center cap that snapped into the wheel.